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 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 alcohol consumption, sleep, nutrition quality, diet quantity and sedentary time. Data were derived from the UCL COVID-19 Social Study, in which 52,784 adults were followed weekly across 22 weeks of the pandemic from 23rd March to 23rd August 2020. Fixed effects regression models showed that greater 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. Encouraging people to engage in PA may lead to wider changes in other health behaviours in times of adversity. These associations could be a result of increases in available leisure time for many people during COVID-19 restrictions and are of ongoing importance given the emerging long-term changes to lifestyle and working patterns.