Background The Movement Control Orders (MCO) in Malaysia due to the COVID-19 pandemic had a profound impact on the lifestyle behaviours, weight changes, and mental health of the population. Aim To determine the changes in physical activity, sedentary behaviour, body weight status and mental health status among Malaysian adults before and during the pandemic. Methods A total of 338 Malaysian adults participated in this cross-sectional online study. Sociodemographic and anthropometric data were self-reported. Physical activity and sedentary behaviour were assessed using International Physical Activity Questionnaire-Short Form (IPAQ-SF) while the Perceived Stress Scale (PSS-10), Patient Health Questionnaire (PHQ-9) and Generalised Anxiety Disorder Assessment (GAD-7) were used to examine stress, depression and anxiety, respectively. All statistical analysis was performed using SPSS version 28.0. Results The results showed an average weight gain of 0.6 kg among the participants with 45.5% of them experiencing weight gain. In addition, sedentary behaviour ( p < 0.001), PSS-10 score ( p < 0.001), PHQ-9 score ( p = 0.002) and GAD-7 score ( p = 0.001) were significantly increased during the COVID-19 pandemic whereas the level of physical activity was significantly decreased ( p = 0.003) during the pandemic. Weight changes during the pandemic were found to be associated with age, sedentary hours, and PHQ-9 score. Through binary logistic regression, sedentary hours (AOR = 1.068, 95% CI = 1.002–1.139, p = 0.043) were identified to be a risk factor for weight gain during the pandemic. Conclusion The findings suggested that public health interventions to prevent weight gain should focus on strategies to increase physical activity for sedentary lifestyles.