Physical activity (PA) is beneficial for the health and wellness of individuals and societies. During an infectious disease pandemic, such as the one caused by COVID-19, social distancing, quarantines, and lockdowns are used to reduce community spread of the disease. Unfortunately, such nonpharmacological interventions or physical risk mitigation measures also make it challenging to engage in PA. Reduced PA could then trigger physiological changes that affect both mental and physical health. In this regard, women are more likely to experience physical and psychological distress. PA is a safe and effective nonpharmacological modality that can help prevent and manage several mental and physical health problems when performed correctly. PA might even confer benefits that are directly related to decreasing COVID-19 morbidity and mortality in women. In this review, we summarize why optimal PA must be a priority for women during the COVID-19 pandemic. We then discuss chronic COVID-19 illness and its impact on women, which further underscores the need for worldwide preventive health strategies that include PA. Finally, we discuss the importance of vaccination against COVID-19 for women, as part of prioritizing preventive healthcare and an active lifestyle.