The features of the COVID-19 pandemic and the social operations to contain the spread of the virus might have limited or altered coping, including healthy habits such as exercise, this contributing to a myriad of negative consequences for the mental health of the global population. We explored the contribution of coping and physical activity to the management of anxiety in Spanish adults during an active phase of the epidemic, as well as the relationship between these strategies. A total of 200 young and adult individuals (70% women) voluntarily completed an anxiety inventory, a coping skills self-report and a personal data section including exercise practice. The participants reported in average a mild yet existing level of anxiety symptoms; a third reported noticeable symptoms. At the time of the study, the participants used more adaptive than maladaptive coping styles. Participants’ anxiety was inversely correlated with an active coping style, and positively with an avoidant style; physical activity correlated positively with an active coping style, and regular exercisers used more frequently active coping. Controlling for confounders, active coping, avoidant coping and exercise during the pandemic predicted anxiety symptoms. Other findings indicated that exercise was used as a coping strategy for dealing with emotional distress. Our results highlight the positive impact of functional coping and exercise for the management of negative states such as anxiety during the pandemic, and underline the importance of developing interventions aimed at enhancing coping skills for promoting physical and mental well-being of the population during health and social crises.