Background: The sedentary lifestyle caused by the COVID-19 quarantine has resulted in a devastating threat to human health due to stress and anxiety. Although infected individuals must stop exercising, exercise is not prohibited when without symptoms and complications. Whereas exercise can be effective in immune system reinforcement during the prevention, recovery, and post-recovery stages, COVID-19-recovered Individuals (CRI) must exercise under accurate considerations. Objectives: This study aimed to study exercise in cold weather for the CRI. Methods: This article overviews how different exercises affect the immune system. PubMed, Science Direct, and Google Scholar Databases and keywords including cold weather, COVID-19, immune system, and combined exercise were used to access scientific articles. Results: Recent reports show that different sports and exercises significantly improve COVID-19 symptoms, although there are many discrepancies among researchers in prescribing exercise programs (various training protocols, duration, and intensity). Also, CRI should avoid exercise in cold weather due to breathing complications Conclusions: Based on the present study, regular exercises (aerobic, resistance, and combined) with moderate intensity improve COVID-19 symptoms and the immune system.