Background: Between March and May 2020, the COVID-19 pandemic led governments to take specific lockdown measures. Investigations have defined obesity as a risk factor for disease severity, but none has addressed the effects of lockdown on psychological well-being and physical activity in this population. The objective of the study was to analyze the evolution (before vs. during lockdown) of well-being and physical activity among French adult women living with overweight or obesity. Methods: 250 women, divided into 5 Body Mass Index (BMI) categories (healthy weight, overweight, obesity I, II or III), provided online information concerning their self-perceived psychological well-being and level of physical activity before and after one month (± 1 week) of lockdown. Results: This study shows that BMI is a factor that is associated with well-being and physical activity. Compared to women with a healthy weight who significantly increased their level of physical activity, those living with overweight or obesity perceived a significant decrease in psychological well-being, positive affect, and physical exercise. Conclusions: This study highlights the importance of taking into account the well-being and active behavior of women living with overweight or obesity during any lockdown period that could occur in future pandemics.