Despite the limitations of overgeneralizing cutoff values for confirmatory factor analysis (CFA; e.g., Marsh, Hau, & Wen, 2004), they are still often employed as golden rules for assessing factorial validity in sport and exercise psychology. The purpose of this study was to investigate the appropriateness of using the CFA approach with these cutoff values for typical multidimensional measures. Furthermore, we ought to examine how a model could be respecified to achieve acceptable fit and explored whether exploratory structural equation modeling (ESEM) provides a more appropriate assessment of model fit. Six multidimensional measures commonly used in sport and exercise psychology research were examined using CFA and ESEM. Despite demonstrating good validity in previous research, all eight failed to meet the cutoff values proposed by Hu and Bentler. ESEM improved model fit in all measures. In conclusion, we suggest that model misfit in this study demonstrates the problem with interpreting cutoff values rigidly. Furthermore, we recommend ESEM as a preferred approach to examining model fit in multidimensional measures.