Enacted measures to control the spread of COVID-19 disease such as compulsory confinement may influence health behaviors. The present study investigated changes in physical activity (PA) levels during the first days of confinement. Using an online survey, the Spanish population (n = 2042, 54% women, age 35.9 (SD 13.6) years) replied to questions concerning sociodemographic characteristics as well as PA behavior before and during the first week of enacted isolation. Physical activity vital sign (PAVS) short form was used to estimate weekly minutes of PA before and during the isolation period. Statistical analysis used the following tests: Mc Nemar Chi-squared tests, independent and paired samples t-test, and effect size (Cohen’s d). During the first week of confinement, participants reduced their weekly PA levels by 20% (~45.2 weekly minutes (95% CI: 37.4−53.0)). This led to a decrease from 60.6% to 48.9% (difference: 11.7%) (p < 0.0001) in the number of participants meeting the recommended World Health Organization (WHO) PA levels. Subgroups including men, participants aged 43 or over, and those not holding a university degree had the greatest reductions in both weekly minutes of PA and adherence to guidelines. The PA levels of the Spanish population generally declined during the first days of COVID-19 confinement.