The outbreak of COVID-19 led to the swift migration to alternate instructional delivery models and pedagogical practices in educational institutions. This study examined the perceived safety of the learning environment and associated anxiety factors among physical education students amidst COVID-19. Using a cross-sectional design, a sample of 638 students drawn purposively and conveniently from a public university in Ghana completed a self-developed questionnaire. Frequency counts, percentages, and ordered logistic regression were used to analyze the data. Findings of the study showed that students perceived the practical lesson environment as unsafe, with self-reported moderate to high levels of anxiety during their practical lessons. The ordered logistic regression results revealed that varied factors such as age, COVID-19 information platforms, certainty about personal safety, and adequacy of preparation to manage COVID-19 cases were associated with anxiety. The study concluded that an unsafe practical physical education learning environment increases the anxiety levels of students. Academic departments/units should provide periodic interventions (e.g., positive self-talk, mental rehearsal, cognitive restructuring) and counseling services for students amidst the ongoing pandemic to help moderate situational-specific anxiety. In addition, key to the management of students’ anxiety is the provision of a safe and supportive school environment, including the provision of adequate personal protective equipment for practical lessons by school authorities.