Current theories and models applied in health promotion research have tended to be deficient in accounting for the complex and increasingly fragmented policy and social contexts in which health behaviour and interventions take place. We develop a grounded theory social return on investment (SROI) methodology using a subsample of 34 stakeholders involved in a community physical activity programme. The resulting conceptual framework identifies 15 outcomes across three domains comprising social equity, education and participation, and organizational and performance. These reflect the wider complexities of the ecological context in which health behaviour takes place. The grounded theory SROI methodology provides a basis for engaging meaningfully with community stakeholders in a co-production process to identify outcomes and develop indicators to assess them.