The COVID-19 pandemic and the associated governmental restrictions suddenly changed everyday life and potentially affected exercise behavior. The aim of this study was to explore whether individuals changed their preference for certain types of physical exercise during the pandemic and to identify risk factors for inactivity. An international online survey with 13,881 adult participants from 18 countries/regions was conducted during the initial COVID-19 related lockdown (between April and May 2020). Data on types of exercise performed during and before the initial COVID-19 lockdown were collected, translated, and categorized (free-text input). Sankey charts were used to investigate these changes, and a mixed-effects logistic regression model was used to analyze risks for inactivity. Many participants managed to continue exercising but switched from playing games (e.g., football, tennis) to running, for example. In our sample, the most popular exercise types during the initial COVID-19 lockdown included endurance, muscular strength, and multimodal exercise. Regarding risk factors, higher education, living in rural areas, and physical activity before the COVID-19 lockdown reduced the risk for inactivity during the lockdown. In this relatively active multinational sample of adults, most participants were able to continue their preferred type of exercise despite restrictions, or changed to endurance type activities. Very few became physically inactive. It seems people can adapt quickly and that the constraints imposed by social distancing may even turn into an opportunity to start exercising for some. These findings may be helpful to identify individuals at risk and optimize interventions following a major context change that can disrupt the exercise routine.