Lockdown imposed in the early phase of the SARS-CoV-2 outbreak represented a specific setting where activity was restricted but still possible. The aim was to investigate the cross-sectional associations between physical activity (PA) and SARS-CoV-2 infection in a French population-based cohort. Participants completed a PA questionnaire. PA was classified into: (i) total PA; (ii) aerobic PA by intensity; (iii) strengthening PA; (iv) PA by domain and type; and (vii) by location. Sedentary time was also recorded. Seroprevalence of anti-SARS-CoV-2 antibodies was assessed. Multivariable logistic regression models controlling for sociodemographic, lifestyle, anthropometric data, health status, and adherence to recommended protective anti-SARS-CoV-2 behaviours were computed. From 22,165 participants included, 21,074 (95.1%) and 1091 (4.9%) had a negative and positive ELISA-S test result, respectively. Total PA, vigorous PA, leisure-time PA, household PA, outdoor PA and indoor PA were all associated with lower probability of SARS-CoV-2 infection. Observations made in such a setting shed light on PA possibilities in a context of restricted mobility, where the health benefits of PA should not be overlooked. Along with already well-established benefits of PA for non-communicable disease prevention, these findings provide additional evidence for policies promoting all types of PA as a lever for population health.