University students are predisposed to stress, which could be even higher in Nursing students since they are directly related to the COVID-19 pandemic given their health training and area of knowledge. Our purpose was to assess the stress levels of Nursing students before and during lockdown due to the COVID-19 pandemic in Murcia (Spain), its influence on taking an online exam and how it was affected by physical exercise. This was an observational and prospective study including Nursing students from the second year of the Nursing Degree from 3 February to 23 April 2020. Three measurements were performed: one before lockdown and two during lockdown. Stress increased substantially during lockdown. Financial, family or emotional problems, as well as physical exercise, also increased. Indeed, at 40 days of lockdown, those students with financial, family or emotional problems, and less physical exercise reported significantly higher stress levels. In addition, those who passed the online exam had lower stress levels compared to those who failed. In conclusion, during lockdown, stress in Nursing students increased. This could be triggered by students’ personal problems, and physical exercise may be used as a way to reduce stress. Academic performance was better in those students reporting less stress.