Background: Regular exercise is known to prevent cardiovascular disorders, but it may also trigger acute cardiac events. This study examined the incidence, prognosis, and outcomes of out-of-hospital cardiac arrest (OHCA) related to exercise in the general population of Denmark. Methods: This retrospective cohort study examined all the OHCAs in the Danish Cardiac Arrest Registry from 2016 to 2019. OHCA related to exercise was identified in a nationwide electronic database and coupled to the patient register. Descriptive statistics were used in combination with a multivariate logistic regression model to assess predefined factors. Results: A total of 20,470 OHCAs were identified, of which 459 (2.2%) were related to exercise. Most were male (75.3%), with a median age of 61 years. Further, 95% of exercise-related OHCA received bystander cardiopulmonary resuscitation, compared to 77.4% in non-exercise-related OHCA (p < 0.001), and 38.3% received defibrillation by bystanders versus 7.5% in the non-exercise group (p < 0.001). Exercise-related OHCAs had a 30-day survival rate of 57.7% compared to 12.6% in the non-exercise group, yielding an adjusted odds ratio of 5.56. The 30-day survival rate of exercise-related subjects aged 15–35 years was 80.0%, compared to 25.0% in the non-exercise group. When comparing sports categories, team sports were associated with the greatest chance of survival (odds ratio of 18.5 versus a non-exercise odds ratio of 0.09). Conclusion: Exercise-related OHCA has a low incidence and is related to a significantly better prognosis when compared to non-exercise OHCA. Furthermore, many patients experiencing exercise-related OHCA received defibrillation and cardiopulmonary resuscitation by bystanders. These findings could help plan and execute campaigns and education.