Purpose: The United Kingdom (UK) government imposed its first national lockdown in response to COVID-19 on the 23rd of March 2020. Physical activity and sedentary behaviour levels are likely to have changed during this period. Methods: An online survey was completed by n = 266 adults living within the UK. Differences in day-to-day and recreational physical activity (at moderate and vigorous intensities), travel via foot/cycle, and sedentary behaviour were compared before and during the initial COVID-19 lockdown. Results: The median level of total weekly physical activity significantly reduced (− 15%, p < 0.001) and daily sedentary time significantly increased (+ 33%, p < 0.001). The former was caused by a significant reduction in weekly day-to-day physical activity at moderate intensities (p < 0.001), recreational activities at vigorous (p = 0.016) and moderate (p = 0.030) intensities, and travel by foot/cycle (p = 0.031). Sub-group analyses revealed that some populations became disproportionally more physically inactive and/or sedentary than others, such as those that were: living in a city (versus village), single (versus a relationship), an athlete (versus non-athlete), or earning an average household income < £25,000 (versus > £25,000). Conclusions: Now that the UK is transitioning to a state of normal living, strategies that can help individuals gradually return to physical activities, in accordance with the 2020 WHO guidelines, are of paramount importance to reducing risks to health associated with physical inactivity and sedentary behaviour.