The COVID-19 pandemic altered many facets of life. We aimed to evaluate the impact of COVID-19-related public health guidelines on physical activity (PA), sedentary behavior, mental health, and their interrelations. Cross-sectional data were collected from 3052 US adults 3–8 April 2020 (from all 50 states). Participants self-reported pre- and post-COVID-19 levels of moderate and vigorous PA, sitting, and screen time. Currently-followed public health guidelines, stress, loneliness, positive mental health (PMH), social connectedness, and depressive and anxiety symptoms were self-reported. Participants were grouped by meeting US PA guidelines, reporting ≥8 h/day of sitting, or ≥8 h/day of screen time, pre- and post-COVID-19. Overall, 62% of participants were female, with age ranging from 18–24 (16.6% of sample) to 75+ (9.3%). Self-reported PA was lower post-COVID among participants reporting being previously active (mean change: −32.3% [95% CI: −36.3%, −28.1%]) but largely unchanged among previously inactive participants (+2.3% [−3.5%, +8.1%]). No longer meeting PA guidelines and increased screen time were associated with worse depression, loneliness, stress, and PMH (p < 0.001). Self-isolation/quarantine was associated with higher depressive and anxiety symptoms compared to social distancing (p < 0.001). Maintaining and enhancing physical activity participation and limiting screen time increases during abrupt societal changes may mitigate the mental health consequences