This article presents the results of almost nine months of ethnographic research on the relationship between physical exercise and health in older people in the post-COVID-19 context. Via exploratory–descriptive qualitative research and the use of a convenient sample, I shed light on this relationship using the stories and life experiences of 40 older people (10 men and 30 women, including two women instructors for senior classes) who exercise regularly. The meanings they attributed to physical exercise during COVID-19 and after it are explained, emphasising first that there is no health in a context of not feeling safe; once there is a feeling of security, the most relevant meanings can be exposed in three directions. First, exercise produces a sense of identity linked to “being an athlete” and “belonging to a group”. Second, exercising is valued as participating in something meaningful (the meanings range from self-realisation, independence, and autonomy to feelings of happiness). Finally, and linked to the sense of identity, those who train alone show more commitment and total hours spent in physical exercise and physical activity than those who train in groups. Even though older people are not a homogeneous group, they generally faced the pandemic as an ageist situation that affected their lives and how they saw sports and health. This article describes the strategies they used during COVID-19 related to exercise and well-being and those used once the pandemic restrictions were no longer present. The qualitative aspects that physical exercise brings to this population are highlighted. The research results give voice to older people, showing their heterogeneity and the meanings and practices that unite them. These inputs are rich material for studies on physical activity, older people, and well-being.