The infectious disease COVID-19 (Coronavirus Disease 2019) caused by the severe acute respiratory syndrome coronavirus 2 (SARS-CoV-2), appeared at the end of 2019 in China, and spread rapidly throughout the world in the first months of 2020. The elderly or anyone with chronic illnesses such as obesity, high blood pressure, lung disease and diabetes, are considered part of the risk group. Health authorities around the world began to adopt and encouraged behaviors to mitigate the risk of transmission, such as washing hands frequently with soap and water, making social distancing, and staying at home if possible, in order to minimize the infection and thereby relieve the health systems and reduce the number of fatalities. In this review, we discuss the possible effects of social distancing on the health of the elderly and describe different strategies of physical exercise to be performed during the pandemic of COVID-19. Aerobic training, strength training and high-intensity interval training (HIIT) are effective for improving immune functions, autonomy, functional independence, and mental health in the elderly during the COVID-19 pandemic. In addition, physical exercise programs must be planned, adapted, and controlled based on the individual capabilities of the elderly, and remotely guided by professionals trained in the prescription of physical exercise. It is necessary that the general population, and especially the elderly, be continuously informed, protected, and oriented about the benefits and the importance of physical exercise practice during the social distancing caused by the pandemic of COVID-19.