The Coronavirus disease 2019 (COVID-19) pandemic and its associated governmental recommendations and restrictions have influenced many aspects of human life, including exercise and mental health. This study aims to explore the influence of COVID-19 on exercise behavior and its impact on mood states, as well as predict changes in exercise behavior during a similar future pandemic in Taiwan. A cross-sectional online survey was conducted between 7 April and 13 May 2020 (n = 1114). Data on exercise behavior pre and during the pandemic and mood states were collected. A cumulative link model was used to predict changes in exercise frequency during a similar future pandemic by exercise frequency during the pandemic. A linear model was used to predict the influence of exercise frequency before and during the pandemic on mood states during the pandemic. A total of 71.2%, 67.3%, and 58.3% of respondents maintained their exercise intensity, frequency, and duration, respectively, during the pandemic. Frequent exercisers are more likely to maintain their exercise frequency during a similar pandemic (p < 0.001). Higher exercise frequencies during the pandemic were associated with better mood states (p < 0.05). Moreover, the effects of prepandemic exercise frequency on mood states are moderated by changes in exercise frequency during the pandemic (p < 0.05). Additionally, maintenance of exercise frequency during a pandemic specifically for frequent exercisers are recommended to preserve mood states. These results may provide evidence for health policies on exercise promotion and mental health before and during a future pandemic.