Background: Several studies have assessed the impact of COVID-19-related lockdowns on sleep quality across global populations. However, no study to date has specifically assessed at-risk populations, particularly those at highest risk of complications from coronavirus infection deemed “clinically-extremely-vulnerable-(COVID-19CEV)” (as defined by Public Health England). Methods: In this cross-sectional study, we surveyed 5,558 adults aged ≥50 years (of whom 523 met criteria for COVID-19CEV) during the first pandemic wave that resulted in a nationwide-lockdown (April–June 2020) with assessments of sleep quality (an adapted sleep scale that captured multiple sleep indices before and during the lockdown), health/medical, lifestyle, psychosocial and socio-demographic factors. We examined associations between these variables and sleep quality; and explored interactions of COVID-19CEV status with significant predictors of poor sleep, to identify potential moderating factors. Results: Thirty-seven percent of participants reported poor sleep quality which was associated with younger age, female sex and multimorbidity. Significant associations with poor sleep included health/medical factors: COVID-19CEV status, higher BMI, arthritis, pulmonary disease, and mental health disorders; and the following lifestyle and psychosocial factors: living alone, higher alcohol consumption, an unhealthy diet and higher depressive and anxiety symptoms. Moderators of the negative relationship between COVID-19CEV status and good sleep quality were marital status, loneliness, anxiety and diet. Within this subgroup, less anxious and less lonely males, as well as females with healthier diets, reported better sleep. Conclusions: Sleep quality in older adults was compromised during the sudden unprecedented nation-wide lockdown due to distinct modifiable factors. An important contribution of our study is the assessment of a “clinically-extremely-vulnerable” population and the sex differences identified within this group. Male and female older adults deemed COVID-19CEV may benefit from targeted mental health and dietary interventions, respectively. This work extends the available evidence on the notable impact of lack of social interactions during the COVID-19 pandemic on sleep, and provides recommendations toward areas for future work, including research into vulnerability factors impacting sleep disruption and COVID-19-related complications. Study results may inform tailored interventions targeted at modifiable risk factors to promote optimal sleep; additionally, providing empirical data to support health policy development in this area.