The protection of physical activity (PA) against COVID-19 is a rising research interest. However, the role of physical activity intensity on this topic is yet unclear. To bridge the gap, we performed a Mendelian randomization (MR) study to verify the causal influence of light and moderate-to-vigorous PA on COVID-19 susceptibility, hospitalization, and severity. The Genome-Wide Association Study (GWAS) dataset of PA (n = 88,411) was obtained from the UK biobank and the datasets of COVID-19 susceptibility (n = 1,683,768), hospitalization (n = 1,887,658), and severity (n = 1,161,073) were extracted from the COVID-19 Host Genetics Initiative. A random-effect inverse variance weighted (IVW) model was carried out to estimate the potential causal effects. A Bonferroni correction was used for counteracting. The problem of multiple comparisons. MR-Egger test, MR-PRESSO test, Cochran’s Q statistic, and Leave-One-Out (LOO) were used as sensitive analysis tools. Eventually, we found that light PA significantly reduced the risk of COVID-19 infection (OR = 0.644, 95% CI: 0.480–0.864, p = 0.003). Suggestive evidence indicated that light PA reduced the risks of COVID-19 hospitalization (OR = 0.446, 95% CI: 0.227 to 0.879, p = 0.020) and severe complications (OR = 0.406, 95% CI: 0.167–0.446, p = 0.046). By comparison, the effects of moderate-to-vigorous PA on the three COVID-19 outcomes were all non-significant. Generally, our findings may offer evidence for prescribing personalized prevention and treatment programs. Limited by the available datasets and the quality of evidence, further research is warranted to re-examine the effects of light PA on COVID-19 when new GWAS datasets emerge.