This study describes self-reported physical activity (PA), motivation to exercise, physical and mental health and feelings towards PA during the March-May 2020 COVID-19 lockdown in New Zealand. Adults over the age of 18 years (n = 238; 80.2% female) completed the International Physical Activity Questionnaire (IPAQ), the Behavioural Regulation in Exercise Questionnaire 3, the Short Form-36 and open-ended questions about PA through an anonymous online survey. Regular exercise was undertaken by 85% of respondents prior to lockdown, but only 49.8% were able to maintain their usual level of PA. Although respondents were considered sufficiently physically active from the IPAQ, 51.5% reported not being able to maintain their usual level of PA primarily due to the closure of their gym facilities. Sixty percent of respondents reported that PA had a positive effect on their overall wellbeing. When asked to specify which aspects of wellbeing were affected, the effect on mental health was reported the most while the effect on body image or fitness was reported the least. Strategies to increase or maintain engagement in physical activity during lockdowns should be encouraged to promote positive mental health during the COVID-19 pandemic.