The COVID-19 pandemic has forced governments to impose quarantines and lockdowns as containment strategy, raising concerns about mental health and low level of physical activity performed by quarantined populations. In this study, we assess the level of physical activity and psychological wellbeing in a sample of the Italian population during lockdown through an online format of International Physical Activity Questionnaire (IPAQ) and Psychological General Well-Being index—Short version (PGWB-S). Of 317 adult responders considered, most were female (61.2%), young adults (52.4%), living in little-to-medium size cities (80.1%) and with high-level education (62.8%). Most of our sample performed physical activity mostly during leisure time and domestic activities, and 60.9% were highly active. No interactions were found between physical activity and the demographic characteristics considered. Subjects performing high level of physical activity felt more energetic and vital than those with moderate (p < 0.0001) and low levels (p < 0.0001) of physical activity. Our participants performed enough activity to satisfy the WHO Guidelines, mainly due to domestic activity and activity performed during leisure time, with an overall moderately positive psychological reaction to lockdown.