This study compared physiological, perceptual and neuroprotective hormone and metabolite responses and changes in coordination as an effect of aerobic exercise with and without a face mask in people with mild symptoms of COVID-19. Forty men took part in this study. Half declared mild symptoms of SARS-CoV-2 infection in the 6 months before the study (Declared) and the other half did not (Non-declared). In a random order, with a 7-day interval, they performed a 30-min walk on a treadmill at a speed of 6 km/h wearing a surgical face mask (Masked) and without it (Unmasked). The heart rate, heart rate variability, oxygen saturation, lactate concentration and rate of perceived exertion were recorded. The reaction time and balance were measured before and after the exercise. The concentrations of brain-derived neurotrophic factor, testosterone, cortisol, epinephrine and antibodies in the blood serum were determined. Physiological and perceptual responses, reaction times, and balance did not differ between the tested conditions. Three-way RM-ANOVA with post hoc Bonferroni analysis revealed lower post-exercise cortisol concentrations in the Masked and Unmasked conditions in both groups (p ≤ 0.001). Asymptomatic infection with this virus is prevalent, and mild COVID-19 causes similar responses to aerobic exercise with a surgical face mask and does not lead to impaired coordination.