COVID-19 has serious effects on cardiorespiratory capacity. In this sense, physical activity has been identified as beneficial in the treatment of cardiorespiratory diseases due to its anti-inflammatory and immunosuppressive benefits. To date, no study has been found on cardiorespiratory capacity and rehabilitation in patients cured after COVID-19. Thus, this brief report aims to relate the benefits of physical activity to cardiorespiratory function after COVID-19. It is important to know how different levels of physical activity can be related to the different symptoms of COVID-19. In view of this, the objectives of this brief report were to: (1) explore the theoretical associations between COVID-19 symptoms and physical activity; (2) compare the cardiorespiratory function of non-COVID-19 participants and post-COVID-19 patients; and (3) propose a physical activity program to improve the cardiorespiratory fitness of post-COVID-19 patients. Thus, we note that moderate-intensity physical activity (i.e., walking) has a greater beneficial effect on immune function, whereas vigorous activity (i.e., marathon running) tends to temporarily reduce immune function through an imbalance of cytokine types I and II in the hours and days after exercise. However, there is no consensus in the literature in this regard, since other investigations suggest that high-intensity training can also be beneficial, not causing clinically relevant immunosuppression. Physical activity has been shown to be beneficial in improving the clinical conditions most frequently associated with severe COVID-19. Thus, it is possible to infer that physically active individuals seem to be less exposed to the dangers of severe COVID-19 compared to non-active individuals through the benefits of physical activity in strengthening the immune system and fighting infections. The current study demonstrates that physical activity appears to be beneficial in improving the clinical conditions most often associated with severe COVID-19.