Physical activity has been proposed as a protective factor for COVID-19 hospitalisation. However, the mechanisms underlying this association are unclear. We examined the association between physical activity and COVID-19 hospitalisation and whether this relationship was explained by risk factors (chronic conditions, weak muscle strength). We used data from adults over 50 years from the Survey of Health, Ageing and Retirement in Europe. The outcome was self-reported hospitalisation due to COVID-19, before August 2020. The main exposure was physical activity, self-reported between 2004 and 2017. Among the 3139 participants included (69.3 ± 8.5 years, 1763 women), 266 were tested positive for COVID-19, 66 were hospitalised. Logistic regression models showed that individuals who engaged in physical activity more than once a week had lower odds of COVID-19 hospitalisation than individuals who hardly ever or never engaged in physical activity (odds ratios = 0.41, 95% confidence interval = 0.22-0.74, p = .004). This association between physical activity and COVID-19 hospitalisation was explained by muscle strength, but not by other risk factors. These findings suggest that, after 50 years, engaging in physical activity is associated with lower odds of COVID-19 hospitalisation. This protective effect of physical activity may be explained by muscle strength.