The COVID-19 pandemic has exerted an effect on the general population that went over every expectation. To explore the effect of physical exercise (PE) during the national lockdown in Italy, a survey was drawn up and administered to a sample composed of 208 subjects. The questionnaire comprised 81 multiple-choice items, including sociodemographic data, health-related questions, and assessment of physical exercise, satisfaction with life, depression, and personality. The purpose of this study is to explore the role of physical exercise during the outbreak following the present hypothesis: first, if a link exists between the time spent on physical exercise during the lockdown and the perceived health condition, depressive and somatic symptomatology, and life satisfaction; second, to find associations among the SF-12 component summaries and the other psychological outcomes; and finally, to explore how physical and psychological variables are predictive of PCS-12 and MCS-12. The results showed that both vigorous and moderate physical exercise was strongly correlated with psychological variables, with statistically significant negative correlations found between age and physical exercise. Additionally, significant positive correlations were observed between physical exercise and mental health indices, such as MCS-12 and SWLS, whereas negative correlations were found with BDI, PCS-12, and SOM-H. The correlation analysis also revealed that physical and individual mental health summaries were associated with psychological outcomes, with statistically significant negative correlations found between PCS-12 and MCS, PCS-12 and SOM-H, and MCS-12 and BDI scores. Regression analysis showed that physical activities and psychological status both had a direct influence on perceived mental and physical well-being during the lockdown, accounting for 56.7% and 35.5% of the variance, respectively. Thep-values for the significant correlations ranged from <0.05 to <0.01. Overall, these findings highlight the importance of physical exercise and psychological well-being in maintaining good health during the pandemic.