Introduction: The coronavirus disease 2019 (COVID-19) pandemic, which is caused by severe acute respiratory syndrome coronavirus 2 (SARS-CoV-2), is seriously endangering human health worldwide. This study finds effective intervention modalities of physical activity on COVID-19 through a narrative review. Methods: In this study, 41 papers were selected for a narrative literature review after a comprehensive database search from 20 December 2019, to 30 August 2022. Results: 41 articles meet the established criteria, and in this review, we comprehensively describe recent studies on exercise and COVID-19, including the impact and recommendations of exercise on COVID-19 prevention, patients with COVID-19, and noninfected populations. Conclusions: The literature suggests that physical activity (PA) contributes to the prevention and treatment of COVID-19, can promote recovery of physical function, alleviate post-acute COVID-19 syndrome, and improve patients’ psychological well-being. It is recommended to develop appropriate exercise prescriptions for different populations under the guidance of a physician.