Countries all over the world implemented lockdowns to counteract COVID-19. These lockdowns heavily limited people’s exercise possibilities. At the same time, experts advocated to remain physically active to prevent future health problems. Based on an online survey, this study examines adults’ exercise levels and patterns during the COVID-19 lockdown in Belgium. Ordinal logistic regression analyses of 13,515 valid and population-weighted responses indicate a general increase in exercise frequencies, as well as in sedentary behavior. Except for people aged 55+, previously low active adults self-reported to exercise more during the lockdown. Among the people who were already high active before COVID-19, those above 55 years old, those with low education, those used to exercise with friends or in a sport club, and those who were not using online tools to exercise, self-reported to exercise less during the lockdown. Having less time, sitting more, and missing the familiar way and competitive element of exercising were the main reasons for a self-reported exercise reduction. Given the health risks associated with physical inactivity, results imply that governments should consider how those who were not reached can be encouraged to exercise during a lockdown. After all, additional COVID-19 lockdowns might be implemented in the future.