In one embodiment, the present invention includes a processor that has an on-die storage such as a static random access memory to store an architectural state of one or more threads that are swapped out of architectural state storage of the processor on entry to a system management mode (SMM). In this way communication of this state information to a system management memory can be avoided, reducing latency associated with entry into SMM. Embodiments may also enable the processor to update a status of executing agents that are either in a long instruction flow or in a system management interrupt (SMI) blocked state, in order to provide an indication to agents inside the SMM. Other embodiments are described and claimed.