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Background: Modifiable lifestyle-related factors heighten the risk and severity of coronavirus disease 2019 (COVID-19) in patients with cancer. Whether exercise lowers susceptibility or severity is not known., Methods: We identified 944 cancer patients from Memorial Sloan Kettering Cancer Center (mean age: 64; 85% female; 78% White) completing an exercise survey before receiving a confirmed positive or negative SARS-CoV-2 test. Exercise was defined as reporting moderate-intensity ≥5 days per week, ≥30 minutes/session or strenuous-intensity ≥3 days per week, ≥20 minutes/session. Multivariable logistic regression was used to determine the relationship between exercise and COVID-19 susceptibility and severity (i.e., composite of hospital admission or death events) with adjustment for clinical-epidemiologic covariates., Results: Twenty-four percent (230/944) of the overall cohort were diagnosed with COVID-19 and 35% (333/944) were exercisers. During a median follow-up of 10 months, 26% (156/611) of nonexercising patients were diagnosed with COVID-19 compared with 22% (74/333) of exercising patients. The adjusted OR for risk of COVID-19 was 0.65 [95% confidence interval (CI), 0.44-0.96, P = 0.03] for exercisers compared with nonexercisers. A total of 20% (47/230) of COVID-19 positive patients were hospitalized or died. No difference in the risk of severe COVID-19 as a function of exercise status was observed (P > 0.9)., Conclusions: Exercise may reduce the risk of COVID-19 infection in patients with a history of cancer, but not its severity., Impact: This study provides the first data showing that exercise might lower the risk of COVID-19 in cancer patients, but further research is required., (©2022 American Association for Cancer Research.)