In 2019, a new condition caused by the COVID-19, became a global pandemic, presenting a disparate symptomatological picture. The immune response to the virus depends on multiple factors, making the practice of physical exercise an important enhancer of the immune system, but it is unknown what effects it could have on the very different symptoms. In order to achieve and summarize the most outstanding information on the influence of the different types and parameters of physical exercise on the immune system and symptoms presented by COVID-19, it was decided to carry out a review of the literature in the databases PubMed and Medline until August 2020. The results showed that while high intensity and prolonged volume exercise produces counterproductive alterations in the immune system, increasing the possibility of contracting infections; low and moderate intensity exercise reverses these effects, increasing the benefits, providing the body with better protection against viruses. For the symptoms of COVID-19 related to cough, dyspnea, pulmonary obstruction, hypoxia, muscle pain and neuromuscular conditions, exercise at low and moderate intensity is recommended, while those people who present gastrointestinal symptoms and fatigue are recommended to exercise at low intensity. Exercise is completely contraindicated in case of fever and myocarditis.