Objectives Our study aims to investigate the health benefit of regular physical exercise participation on a series of COVID-19 outcomes including COVID-19 morbidity, mortality, and cure rate. Methods Prefecture-level panel data related to physical exercise and the COVID-19 pandemic in China were collected from January 1 to March 17, 2020, (N = 21379). Multiple linear regression was conducted, and the ordinary least squares technique was used to estimate the coefficient. Results It was shown that regular sports participation significantly negatively affected COVID-19 morbidity (estimate = -1.1061, p<0.01) and mortality (estimate = -0.3836, p<0.01), and positively affected cure rate (estimate = 0.0448, p<0.01), implying that engaging in physical exercise regularly does have a significant positive effect on COVID-19 outcomes. Then, we explored the heterogeneity of the effect of physical exercise on areas with different risk levels and it was revealed that the effect of physical exercise was more pronounced in high-risk areas in terms of morbidity (estimate = -1.8776, p<0.01 in high-risk areas; estimate = -0.0037, p<0.01 in low-risk areas), mortality (estimate = -0.3982, p<0.01 in high-risk areas; estimate = -0.3492, p<0.01 in low-risk areas), and cure rate (estimate = 0.0807, p<0.01 in high-risk areas; 0.0193 = -0.0037, p<0.05 in low-risk areas). Conclusions Our results suggest that regularly engaging in physical exercise before the pandemic has positive health effects, especially in the case of a more severe epidemic. Therefore, we urge readers to actively engage in physical exercise so that we can reduce the risks in the event of a pandemic.