The COVID-19 pandemic, and related changes of the gambling market, have been suspected to affect the risk of problem gambling. Despite media attention and political concern with this risk, study findings hitherto have been mixed. Voluntary self-exclusion from gambling was introduced on a national level in Sweden as a harm reduction tool in 2019, and this self-exclusion service in Sweden is a rare example of such an official, nationwide, multi-operator system. The present study aimed to evaluate whether short-term self-exclusion patterns were affected by different phases of COVID-19-related impacts on gambling markets in 2020. During the lock-down of sports in the spring months of 2020, three-month self-exclusion was unaffected, and one-month self-exclusion appeared to increase, though not more than in a recent period prior to COVID-19. Despite large differences in sports betting practices between women and men, self-exclusion patterns during COVID-19 were not apparently gender-specific. Altogether, self-exclusion from gambling, to date, does not appear to be affected by COVID-19-related changes in society, in contrast with beliefs about such changes producing greater help-seeking behavior in gamblers. Limitations are discussed, including the fact that in a recently introduced system, seasonality aspects and the autocorrelated nature of the data made substantial statistical measures unfeasible.