Objective: To investigate the effect of physical exercise on mental health of college students during the epidemic of COVID-19, and to provide reference for mental health education in special period. Methods: By using basic demographic data questionnaire, physical exercise questionnaire, the Generalized Anxiety Disorder 7(GAD-7) and Patient Health Questionnaire(PHQ-9), an internet-based questionnaire survey was conducted among 1 297 college students in Fuzhou. Pearson correlation analysis and a multivariate Logistic regression model were used for statistical analysis. Results: Among the college students, 58.7% took part in physical exercise more than or equal to three times a week, 27.8% of them took part in physical exercise more than or equal to 30 minutes each time, 55.4% of them had took part in moderate-intensity activity each time, only 16.6% of them reported regular exercise. The overall detection rates of anxiety were 20.0%, with mild, moderate and severe anxiety being 16.4%, 2.3% and 1.2%, respectively. The detection rates of depression were 24.7%, with mild, moderate, moderate-to-severe and severe depression being 18.0%, 4.4%, 1.2% and 1.1%, respectively. The analysis results of multivariate Logistic regression show that college students who had no exercise at present and have no intention of regular exercise in the next 2 months(OR=3.36) and have no exercise at present but plan to start regular exercise in the next 2 months(OR=4.07) or those who exercise occasionally(OR=2.65) are prone to develop mild anxiety(P<0.05). College students who had no exercise at present and have no intention of regular exercise in the next 2 months(OR=5.66, 3.86) were prone to develop mild and moderate depression(P<0.05). Conclusion College students reported certain degree of anxiety and depression during the epidemic of COVID-19. Anxiety and depression are closely related. Participation in physical exercise is associated with their mental health among college students. Universities, families and relevant departments should take measures to promote college students to participate in moderate and regular physical exercise.