Background: The aim of this study was to evaluate the impact of COVID-19 on the levels of physical activity (PA) and sleep and to examine specific COVID-19 factors that may be associated with changes in PA and sleep among adults in Russia. Methods: Cross-sectional data were collected during the period of tightest restrictions between 26 April 2020 and 6 June 2020. Eligible participants included all Russian adults aged 18 years and over. Participants reported their sleep patterns and problems, frequency and duration of walking, moderate- and vigorous-intensity PA, and muscle strengthening activities before COVID-19 and during the past 7 days. Access to an outdoor green space and fitness centres, use of online resources, adherence to self-isolation recommendations and other preventive measures from Ministry of Health were self-reported. Results: The sample included 2432 participants from 62 regions, 83% of who were female. There was a significant decline in the number of days per week participants reported not getting enough sleep (3.21 ± 2.44 to 2.86 ± 2.57; P < 0.001); participants also reported an increase in the number of days per week they had trouble falling asleep (1.70 ± 2.24 to 2.13 ± 2.48; P < 0.001). The proportion of participants who met the WHO Guidelines for PA declined from 68 to 49% (P < 0.001). The proportion who participated in muscle strengthening activities for 2 or more days per week declined from 53 to 45% (P < 0.001). Conclusion: Compared with before COVID-19, PA and sleep hygiene were adversely affected during COVID-19. Awareness of factors associated with these declines will assit policymakers in developing strategies to mitigate the negative lifestyle behaviours that have manifested during the COVID-19 confinement.