Endurance and resistance physical activity have been shown to stimulate the production of immunoglobulins and boost the levels of anti-inflammatory cytokines, natural killer cells, and neutrophils in the bloodstream, thereby strengthening the ability of the innate immune system to protect against diseases and infections. Coronavirus disease 19 (COVID-19) greatly impacted people's cardiorespiratory fitness (CRF) and health worldwide. Cardiopulmonary exercise testing (CPET) remains valuable in assessing physical condition, predicting illness severity, and guiding interventions and treatments. In this narrative review, we summarize the connections and impact of COVID-19 on CRF levels and its implications on the disease's progression, prognosis, and mortality. We also emphasize the significant contribution of CPET in both clinical evaluations of recovering COVID-19 patients and scientific investigations focused on comprehending the enduring health consequences of SARS-CoV-2 infection.