Physical activity is critically important not only for physical but also for mental health. Exercise may be a beneficial form of therapy for young adults with anxiety disorders. The global outbreak of the COVID-19 pandemic adversely affected the public, including young adults, in terms of their mental well-being and opportunities for physical activity. The study aimed to identify the influence of physical activity (PA) on generalised anxiety in young adults. It also assessed the changes which occurred in the level of PA and in generalised anxiety in young adults as a result of COVID-19 pandemic. A cross-sectional survey was carried out online with 506 young adults aged 18 to 34 years (=24.67 years ± 4.23 years). Respondents provided two answers to each question, i.e., information relating to the last 7 days during the pandemic (first hard lockdown), and to a period of 7 days before the pandemic (retrospective). The levels of physical activity were measured using 7-item International Physical Activity Questionnaire-Short Form (IPAQ–SF), whereas the level of generalised anxiety was assessed using the Generalised Anxiety Disorder 7 (GAD-7) questionnaire. During the pandemic there was a significant correlation between the level of generalised anxiety and the level of physical activity reported by the respondents (p = 0.048). A higher level of physical activity corresponded to lower level of generalized anxiety in young adults. During the pandemic, young adults spent significantly less time performing physical activity (8752.5 vs. 6174.6 metabolic equivalents (MET) min/week, p < 0.001), they spent more time engaging in sedentary behaviours (Me = 240 vs. Me = 300 min/day, p < 0.001), and they walked much less (from Me = 6930.0 (MET) min/week vs. 3861.0 (MET) min/week (44.29% decrease). Furthermore, after the outbreak of the pandemic the level of perceived generalised anxiety increased significantly (p < 0.001). Physical activity may play an important role in reducing anxiety disorder in young adults. During the COVID-19 pandemic young adults were significantly less involved in PA, which adversely affected their physical and mental condition. The importance of sufficient PA should be emphasised during this specific period, particularly among young adults.