During the coronavirus disease 2019 (COVID-19) pandemic, many populations have experienced reduced physical activity (PA) levels, weight gain, and increased anxiety and depression. However, according to a previous study, engaging in PA has a positive effect on damages caused by COVID-19. Therefore, this study aimed to investigate the association between PA and COVID-19 using the National Health Insurance Sharing Service Database in South Korea. Logistic regression analysis was used to analyze the association of PA with COVID-19 and mortality. The analysis was adjusted for body mass index, sex, age, insurance type, comorbidity, and region of residence at baseline. Disability and lifestyle (weight, smoking, and drinking status) were adjusted consecutively. The results indicated that engaging in insufficient PA as per the WHO guidelines predicts a higher risk of COVID-19 when controlling for personal characteristics, comorbidity, lifestyle, disability, and mortality. This study revealed the need to engage in PA and manage weight to reduce the risk of infection and mortality associated with COVID-19. Because engaging in PA is an important component of weight management and can help restore physical and mental health after the COVID-19 pandemic, it should be emphasized as a pillar of recovery after COVID-19.