The spread of COVID-19 has resulted in reports of increase in stress, anxiety, and depression across society, especially in people who have tested positive for COVID-19, which affects their mental health and well-being. This article reports a quasi-randomized controlled study conducted in the COVID wards of a hospital to examine the efficacy of add-on yoga intervention in reducing stress, anxiety, and depression in COVID-affected patients under quarantine. The peripheral capillary oxygen saturation level and heart rate of the COVID-19-affected patients were also measured. A total of 62 COVID-19-positive patients participated in the study. The participants were randomized into a control group (n = 31), which received conventional medical treatment alone, and a yoga intervention group (n = 31), which received 50 minutes of yoga intervention along with the conventional medical treatment. Standardized Hospital Anxiety and Depression Scale, Generalized Anxiety Disorder–7 Item, Patient Health Questionnaire–9, and Perceived Stress Scale were administered at the beginning and end of the quarantine period. A significant decrease in stress, anxiety, and depression was observed in the patients who undertook the add-on yoga intervention. There was also a significant decrease in anxiety in the control group, but the intervention group had a larger decrease compared to the control group. Further significant improvements in oxygen saturation and heart rate levels were observed in the group of patients who were practicing yoga, but no significant improvement was observed in the control group. Findings of this study suggest that yoga intervention can be an effective add-on practice in reducing stress, anxiety, and depression levels of COVID-19 patients.