The COVID-19 pandemic has resulted in heightened anxiety levels among teachers, especially regarding PE teachers who are required to engage students in practical in-person or contact teaching lessons. Previous research showed that these levels of anxiety among PE teachers appeared to be explained by the interplay between COVID-19 knowledge, workplace safety perception, and educational qualification. This study assessed the relationship between COVID-19-related knowledge and anxiety response among PE teachers during such practical lessons while moderating the effects of workplace safety perception and educational qualification within the relationship. The study conveniently recruited 160 PE teachers to solicit responses through both online and printed questionnaires. Using correlation and linear regression analyses, the study revealed a significant negative relationship between COVID-19-related knowledge and anxiety response among PE teachers. The educational qualification of PE teachers did not significantly moderate the association between COVID-19-related knowledge and anxiety response. Workplace safety perception significantly moderated the association between COVID-19-related knowledge and anxiety response among PE teachers. The findings remind educational authorities about the essence of creating a positive and safe working environment conducive to academic work. Achieving this goal requires the provision of adequate COVID-19 management logistics (e.g., personal protective equipment, hand sanitizers) by educational authorities for PE teachers to maintain safety practices and optimal learning conditions.