The spread of the novel coronavirus COVID-19 resulted in unprecedented worldwide countermeasures such as lockdowns and suspensions of all retail, recreational, and religious activities for the majority of 2020. Nonetheless, no adequate scientific data have been provided thus far about the impact of COVID-19 on driving behavior and road safety, especially in Malaysia. This study examined the effect of COVID-19 on driving behavior using naturalistic driving data. This was accomplished by comparing the driving behaviors of the same drivers in three periods: before COVID-19 lockdown, during COVID-19 lockdown, and after COVID-19 lockdown. Thirty people were previously recruited in 2019 to drive an instrumental vehicle on a 25 km route while recording their driving data such as speed, acceleration, deceleration, distance to vehicle ahead, and steering. The data acquisition system incorporated various sensors such as an OBDII reader, a lidar, two ultrasonic sensors, an IMU, and a GPS. The same individuals were contacted again in 2020 to drive the same vehicle on the same route in order to capture their driving behavior during the COVID-19 lockdown. Participants were approached once again in 2022 to repeat the procedure in order to capture their driving behavior after the COVID-19 lockdown. Such valuable and trustworthy data enable the assessment of changes in driving behavior throughout the three time periods. Results showed that drivers committed more violations during the COVID-19 lockdown, with young drivers in particular being most affected by the traffic restrictions, driving significantly faster and performing more aggressive steering behaviors during the COVID-19 lockdown than any other time. Furthermore, the locations where the most speeding offenses were committed are highlighted in order to provide lawmakers with guidance on how to improve traffic safety in those areas, in addition to various recommendations on how to manage traffic during future lockdowns.