The spread of the COVID-19 virus was met by a strict lockdown in many countries around the world, with the closure of all physical activity (PA) facilities and limitations on moving around freely. The aim of the present online survey was to assess the effect of lockdown on physical activity in Italy. Physical activity was assessed using the European Health Interview Survey questionnaire. A total of 1500 datasets were analyzed. Differences between conditions were tested with a chi²-based (χ²) test for categorical variables, and with the Student’s t-test for paired data. A fixed effects binary logistic regression analysis was conducted to identify relevant predictor variables to explain the compliance with World Health Organisation (WHO) recommendations. We found a substantial decline in all physical activity measures. Mean differences in walking and cycling metabolic equivalent of task minutes per week (METmin/week), respectively, were 344.4 (95% confidence interval (95% CI): 306.6–382.2; p < 0.001) and 148.5 (95% CI: 123.6–173.5; p < 0.001). Time spent in leisure time decreased from 160.8 to 112.6 min/week (mean difference 48.2; 95% CI: 40.4–56.0; p < 0.001). Compliance with WHO recommendations decreased from 34.9% to 24.6% (chi² (1, 3000) = 38.306, p < 0.001, V = 0.11). Logistic regression showed a reduced chance (OR 0.640, 95% CI: 0.484–0.845; p = 0.001) to comply with WHO PA recommendations under lockdown conditions. Measures to promote physical activity should be intensified to limit detrimental health effects.