Abstract This systematic review aimed to investigate the effect of physical activity on anxiety symptoms during the COVID-19 pandemic. Three databases (PubMed; Scopus and Web of Science) were searched in the period from 2020 to 2022 the following base terms were used: “Physical Activity”, Exercise, Anxiety and COVID-19. Peer-reviewed, primary studies published in English, Portuguese and Spanish using valid and reliable measures were included. Eighteen studies met the eligibility criteria, of which 17 were cross-sectional, 2 were cohort studies. The number of participants ranged from 43 to 2,301, aged between 18 and 65 years or older. A decrease in PA practice or an increase in sitting time were associated with higher levels of anxiety symptoms. Additionally, participants who did not meet PA recommendations were more likely to experience moderate to severe anxiety symptoms. The results showed that physical activity is associated with the alleviation of anxiety symptoms during confinement in the COVID-19 pandemic.