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Background Patient hospitalized for coronavirus disease 2019 (COVID-19) pulmonary infection can have sequelae such as impaired exercise capacity. We aimed to determine the frequency of long-term exercise capacity limitation in survivors of severe COVID-19 pulmonary infection and the factors associated with this limitation. Methods Patients with severe COVID-19 pulmonary infection were enrolled 3 months after hospital discharge in COVulnerability, a prospective cohort. They underwent cardiopulmonary exercise testing, pulmonary function test, echocardiography, and skeletal muscle mass evaluation. Results Among 105 patients included, 35% had a reduced exercise capacity (VO2peak < 80% of predicted). Compared to patients with a normal exercise capacity, patients with reduced exercise capacity were more often men (89.2% vs. 67.6%, p = 0.015), with diabetes (45.9% vs. 17.6%, p = 0.002) and renal dysfunction (21.6% vs. 17.6%, p = 0.006), but did not differ in terms of initial acute disease severity. An altered exercise capacity was associated with an impaired respiratory function as assessed by a decrease in forced vital capacity (p < 0.0001), FEV1 (p < 0.0001), total lung capacity (p < 0.0001) and DLCO (p = 0.015). Moreover, we uncovered a decrease of muscular mass index and grip test in the reduced exercise capacity group (p = 0.001 and p = 0.047 respectively), whilst 38.9% of patients with low exercise capacity had a sarcopenia, compared to 10.9% in those with normal exercise capacity (p = 0.001). Myocardial function was normal with similar systolic and diastolic parameters between groups whilst reduced exercise capacity was associated with a slightly shorter pulmonary acceleration time, despite no pulmonary hypertension. Conclusion Three months after a severe COVID-19 pulmonary infection, more than one third of patients had an impairment of exercise capacity which was associated with a reduced pulmonary function, a reduced skeletal muscle mass and function but without any significant impairment in cardiac function.