The objective of this cross-sectional study is to analyze the changes in physical activity (PA) practice of a sample of 2099 French adults, mostly females, who answered an online questionnaire during the first COVID-19 lockdown (March–May 2020). A descriptive analysis of participants was performed using relative frequencies. Chi-squared tests were performed to compare the responses of selected variables. Multinomial logistic regressions were performed to compare the variations of PA with all the variables identified. The age of participants ranged from 18 to 88. Among people who practiced PAs before the first lockdown, the probability to keep practicing PAs is higher among those with a lower level of education, among housewives and retirees and among those who lived in cities of 10,000–19,999 inhabitants. For those who did not practice PAs before the social distancing, the probability of starting to practice is greater in those with a lower level of education and for those who suffered from a chronic disease. Our results place the emphasis on the complexity and multifactoriality of the changes that emerged during the first lockdown. The “education” factor emerges, as a significant determinant of PA that should certainly be explored further.