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Italy is one of the first European epicenters of the COVID-19 pandemic. In attempts to hinder the spread of the novel coronavirus disease, Italian government hardened protective measures, from quarantine to lockdown, impacting millions of lives dramatically. Amongst the enacted restrictions, all non-essential activities were prohibited as well as all outdoor activities banned. However, at the first spur of the outbreak, for about a dozen of days, physical and sports activities were permitted, while maintaining social distancing. In this timeframe, by administering measures coming from self-determination theory and theory of planned behavior and anxiety state, in an integrated approach, we investigated the prevalence of these activities by testing, via a Structural Equation Model, the influence of such psychosocial variables on the intention to preserve physical fitness during the healthcare emergency. Through an adequate fit of the hypothesized model and a multi-group analysis, we compared the most COVID-19 hit Italian region – Lombardy – to the rest of Italy, finding that anxiety was significantly higher in the Lombardy region than the rest of the country. In addition, anxiety negatively influenced the intention to do physical activity. Giving the potential deleterious effects of physical inactivity due to personal restrictions, these data may increase preparedness of public health measures and attractiveness of recommendations, including on the beneficial effects of exercise, under circumstances of social distancing to control an outbreak of a novel infectious disease.