Purpose To determine the potential associations between physical activity and risk of SARS-CoV-2 infection, severe illness from COVID-19 and COVID-19 related death using a nationwide cohort from South Korea. Methods Data regarding 212 768 Korean adults (age >= 20 years), who tested for SARS-CoV-2, from 1 January 2020 to 30 May 2020, were obtained from the National Health Insurance Service of South Korea and further linked with the national general health examination from 1 January 2018 to 31 December 2019 to assess physical activity levels. SARS-CoV-2 positivity, severe COVID-19 illness and COVID-19 related death were the main outcomes. The observation period was between 1 January 2020 and 31 July 2020. Results Out of 76 395 participants who completed the general health examination and were tested for SARS-CoV-2, 2295 (3.0%) were positive for SARS-CoV-2, 446 (0.58%) had severe illness from COVID-19 and 45 (0.059%) died from COVID-19. Adults who engaged in both aerobic and muscle strengthening activities according to the 2018 physical activity guidelines had a lower risk of SARS-CoV-2 infection (2.6% vs 3.1%; adjusted relative risk (aRR), 0.85; 95% CI 0.72 to 0.96), severe COVID-19 illness (0.35% vs 0.66%; aRR 0.42; 95% CI 0.19 to 0.91) and COVID-19 related death (0.02% vs 0.08%; aRR 0.24; 95% CI 0.05 to 0.99) than those who engaged in insufficient aerobic and muscle strengthening activities. Furthermore, the recommended range of metabolic equivalent task (MET; 500-1000 MET min/week) was associated with the maximum beneficial effect size for reduced risk of SARS-CoV-2 infection (aRR 0.78; 95% CI 0.66 to 0.92), severe COVID-19 illness (aRR 0.62; 95% CI 0.43 to 0.90) and COVID-19 related death (aRR 0.17; 95% CI 0.07 to 0.98). Similar patterns of association were observed in different sensitivity analyses. Conclusion Adults who engaged in the recommended levels of physical activity were associated with a decreased likelihood of SARS-CoV-2 infection, severe COVID-19 illness and COVID-19 related death. Our findings suggest that engaging in physical activity has substantial public health value and demonstrates potential benefits to combat COVID-19.