This study explores the effects of COVID-19 confinement in the students’ performance in higher education. Using a field experiment of 458 students from three different subjects in Universidad Autónoma de Madrid (Spain), we study the differences in assessments by dividing students into two groups. The first group (control) corresponds to academic years 2017/2018 and 2018/2019. The second group (experimental) corresponds to students from 2019/2020, which is the group of students that interrupted their face-to-face activities because of the confinement. The results show that there is a significant positive effect of the COVID-19 confinement on students’ performance. This effect is also significative in activities that did not change their format when performed after the confinement. We find that this effect is significative both in subjects that increased the number of assessment activities and subjects that did not change the workload of students. Additionally, an analysis of students’ learning strategies before confinement shows that students did not study in a continuous basis. Based on these results, we conclude that COVID-19 confinement changed students’ learning strategies to a more continuous habit, improving their efficiency. For these reasons, better scores in students’ assessment are expected due to COVID-19 confinement that can be explained by an improvement in their learning performance.