The main purpose of the present study was to determine the association of physical activity (PA) patterns prior to COVID-19 confinement with severe respiratory distress consistent with COVID-19 symptoms. Participants were recruited by sending a survey through various social network channels via the snowball method. A voluntary sample of 420 individuals consisting of 199 men and 221 women from the Spanish national territory participated in this study. Some factors, such as being overweight and obese were related to the presence of a greater number of symptoms associated with COVID-19. Interestingly, it was observed that not performing moderate or vigorous PA increased the risk of COVID-19 symptoms. Consequently, when the effect of the practise of PA was evaluated in terms of the number of practises per week and in minutes per practise per week, a protective effect was observed, where moderate PA >150 min per week reported an inverse association with hospitalization for respiratory symptoms (RR: 95%CI: 0.24, 0.05–1.04, P = 0.05). Likewise, overweight (RR: 16.3, 95%CI: 1.93–137.9, P = 0.01), obesity (RR: 19.1, 95%CI: 1.63–222.5, P = 0.019) and non-performance of moderate PA (RR: 4.12, 95%CI; 0.95–17.76, P = 0.05) reported positive associations with hospitalization for respiratory symptoms. Thus, the practise of moderate PA (>150 min per week) is a protective factor against hospitalization for respiratory symptoms consistent with COVID-19 symptoms.