Background: Government enforced restrictions on movement during the COVID-19 pandemic are likely to have had profound impacts on the daily behaviours of many individuals, including physical activity (PA). Given the pre-pandemic evidence for associations between PA and other health behaviours, changes in PA during the pandemic may have been detrimental for other health behaviours. This study aimed to evaluate whether changes in PA during and after the first national lockdown in the United Kingdom (UK) were associated with concurrent changes in other health behaviours, namely alcohol consumption, sleep, nutrition quality, diet quantity and sedentary time. / Methods: Data were derived from the UCL COVID-19 Social Study. The analytical sample consisted of 52,784 adults followed weekly across 22 weeks of the pandemic from 23rd March to 23rd August 2020. Data were analysed using fixed effects regression. / Results: There was significant within-individual variation in both PA and other health behaviours throughout the study period. Increased PA was positively associated with improved sleep and nutrition quality. However, increases in PA also showed modest associations with increased alcohol consumption and sedentary time. / Conclusion: Our findings indicate that, whilst the first wave of COVID-19 restrictions were in place, increases in PA were associated with improved sleep and better diet. Encouraging people to engage in PA may therefore lead to positive change in other health behaviours in times of adversity. However, increases in PA were also associated with more engagement in the negative health behaviours of alcohol consumption and sedentary time. These associations could be a result of increases in available leisure time for many people during COVID-19 restrictions and require further investigation to inform future public health guidance.