The COVID-19 pandemic and the resulting lockdown countermeasure may have significantly affected adolescents’ physical and mental health. This study aims to assess adolescents’ recollections of this period, also analyzing their current weight status along with factors they traced back to the epidemic phase and their current sports practice. A survey among 233 Italian adolescents aged 12.4 ± 0.9 years was conducted in October 2023. To achieve the research objectives, a new questionnaire was developed: the COVID-19 AdolesceNt/chilDren Lockdown Experience questionnaire (CANDLE). The new questionnaire was employed to gather data on the adolescents’ recollections of the lockdown situation they experienced. The stature and weight of participants were measured directly. The results indicated that middle schoolers remember both positive and negative experiences of the lockdown: the change perceived as the most positive was spending more time with family, while social detachment from peers represents the most negative aspect. According to multivariate regression analysis, certain behaviors they assumed during the lockdown, such as comfort food consumption in boys and sleeping disturbances in girls, in addition to their current sports practice, affected their actual Body Mass Index. This study supports the evidence that changes caused by the COVID-19 lockdown affected adolescents’ physical and mental health, albeit with sex differences.