Background: The aim of the present study was to determine the association between the health-related quality of life (HRQoL) with sociodemographic parameters and lifestyle during COVID-19 confinement in Mexico, Chile, and Spain. Methods: A cross-sectional pilot study, with 742 observations of online surveys in 422, 190, and 130 individuals from Mexico, Chile, and Spain, respectively. Sociodemographic data, presence of comorbidities, food habits, and physical activity (PA) patterns were evaluated. The HRQoL was evaluated according to the SF-36 Health Survey. The multilinear regression analysis was developed to determine the association of variables with HRQoL and its physical and mental health dimensions. Results: The female sex in the three countries reported negative association with HRQoL (Mexico: β −4.45, p = 0.004; Chile: β −8.48, p <0.001; Spain: β −6.22, p = 0.009). Similarly, bad eating habits were associated negatively with HRQoL (Mexico: β −6.64, p <0.001; Chile: β −6.66, p = 0.005; Spain: β −5.8, p = 0.032). In Mexico, PA limitations presented a negative association with HRQoL (β −4.71, p = 0.011). In Chile, a sedentary lifestyle (h/day) was linked negatively with HRQoL (β −0.64, p = 0.005). In Spain, the highest associations with HRQoL were the presence of comorbidity (β −11.03, p <0.001) and smoking (β −6.72, p = 0.02). Moreover, the PA limitation in Mexico (β −5.67, p = 0.023) and Chile (β −9.26, p = 0.035) was linked negatively with mental health. Conclusions: The bad eating habits, PA limitations, female sex, comorbidity presence, and smoking were parameters linked negatively with HRQoL.