Maintaining or initiating exercise activity in the COVID-19 pandemic may act as a buffer against the observed stress-related deterioration in well-being, with emotion regulation (ER) discussed as a possible moderator. Therefore, the present study investigated the interaction between stress, exercise activity (EA), and ER on mood. In an online survey, 366 German sports science students (56% women, Mage = 23.04, SD = 2.87) reported their stress levels (general and COVID-19-specific), mood (energy, valence, calmness), EA before and during the pandemic, and use of ER strategies in spring 2020. Pandemic-related change in EA was calculated as residual change. Due to gender differences in mental health and EA, the main and interaction effects were tested in twelve hierarchical regression analyses, separately for men and women. Overall, EA significantly decreased during the pandemic and was positively associated with energy in both men and women. ER was positively associated with women’s energy, but negatively with all three mood dimensions in men. Only one three-way interaction appeared significant: in the case of high stress, low levels of EA and high use of ER were associated with the greatest deteriorations in energy in men. Our findings suggest that EA may buffer deteriorations in energy in men with high stress and difficulties in ER.