Knowing the experiences and feelings of health professionals who have actively worked on the first-line during the first COVID-19 outbreak could help for identifying specific professional duties focused on health assistance objectives. No qualitative study has been published describing the emotion/feelings of physical therapists during the first COVID-19 outbreak. This study describes and explores the emotional experiences and feelings of thirty physical therapists working at the first-line at eleven public health hospitals in Madrid (Spain) during the first COVID-19 outbreak (March–May 2020). A qualitative exploratory study was conducted based on an interpretive framework. Participants were recruited by purposeful sampling and snow-ball techniques between May and June 2020. In-depth interviews and researchers’ field notes were used to collect the data. An inductive thematic analysis was conducted to identify significant emerging themes from verbatim transcription. After identifying 2135 codes and 9 categories, three themes emerged to describe their emotional experiences and feelings. First, “Critical events”, with negative and positive critical events. Second theme, “Emotional Roller Coaster”, with emotions, feelings, and coping strategies. Third theme: “Last words: Conclusions of the COVID-19 outbreak experience”, with the meaning of the COVID-19 outbreak from a personal and professional perspective. Comprehensive support for all first-line healthcare professionals is needed.