This study aimed to evaluate whether primary school classroom teachers reported changes in physical education teaching self-efficacy (SE-PE) and work engagement (WE) during the first COVID-19 wave. A total of 622 classroom teachers filled in an online questionnaire on SE-PE and WE, referring to before and during the lockdown, and on perceived digital competence. While controlling for perceived digital competence, a mixed between-within Repeated Measures Multivariate Analysis of Covariance (RM-MANCOVA) was performed, using a factorial design with two time categories (before vs. during the lockdown) and three age categories (≤40 vs. 41–50 vs. ≥51 years). The RM-MANCOVA revealed that perceived digital competence significantly adjusted teachers’ SE-PE and WE values (p < 0.001). The analysis yielded a significant multivariate main effect by time (p < 0.001) and by time × age categories (p = 0.001). Follow-up univariate ANCOVA showed significant differences by time in teachers’ SE-PE (p < 0.001) and WE (p < 0.001), with a reduction in both values from before to during the lockdown. A Bonferroni post hoc pairwise comparison showed teachers’ SE-PE significantly decreased in all age categories (p < 0.001). The present findings confirm the importance of promoting SE-PE among primary school teachers, regardless of the crisis due to the COVID-19 pandemic. Teachers’ self-efficacy and WE are essential to master the challenges of PE teaching.