Background: Exercise can stress the pelvic floor muscles (PFMs). This study sought to assess the strength of the PFMs according to the level of physical exercise. Methods: An analytical observational study was carried out using digital palpation and dynamometry measurements to assess PF strength. Healthy nulliparous women were stratified according to physical exercise (physically active and sedentary) and level of physical exercise (elite, amateur, and sedentary). Results: Fifty-four women were analyzed, with a mean age of 25.64 (5.33) years and a BMI of 21.41 (2.96) kg/m2. Differences in the passive force and strength were observed between both groups of women (p < 0.05), and the strength was around two times higher in physically active women (p < 0.05). The strength was similar between elite female athletes and sedentary women (p > 0.05), but statistical differences were found with amateurs (p < 0.05). The PFM strength (p = 0.019) of elite female athletes (0.34 N) was almost half that of amateurs (0.63 N) and twice as strong as that of sedentary women (0.20 N). However, these differences were not significant using digital palpation (p = 0.398). Conclusions: Women who exercise generally have greater PFM strength than women who do not exercise. Physical exercise could strengthen the PFM; however, the high intensity demanded by high-level sports does not seem to proportionally increase the strength of the PFMs.