Acute viral respiratory infections are the main infectious disease in the world. In 2020, a new disease caused by severe acute respiratory syndrome coronavirus 2 (SARS-CoV-2), coronavirus disease 2019 (COVID-19), became a global pandemic. The immune response to the virus depends on factors such as genetics, age and physical state, and its main input receptor is the angiotensin-converting enzyme 2. The practice of physical exercises acts as a modulator of the immune system. During and after physical exercise, pro- and anti-inflammatory cytokines are released, lymphocyte circulation increases, as well as cell recruitment. Such practice has an effect on the lower incidence, intensity of symptoms and mortality in viral infections observed in people who practice physical activity regularly, and its correct execution must be considered to avoid damage. The initial response is given mainly by type I interferons (IFN-I), which drive the action macrophages and lymphocytes, followed by lymphocyte action. A suppression of the IFN-I response has been noted in COVID-19. Severe conditions have been associated with storms of pro-inflammatory cytokines and lymphopenia, as well as circulatory changes and virus dispersion to other organs. The practice of physical activities strengthens the immune system, suggesting a benefit in the response to viral communicable diseases. Thus, regular practice of adequate intensity is suggested as an auxiliary tool in strengthening and preparing the immune system for COVID-19. Further studies are needed to associate physical exercise with SARS-CoV-2 infection.