An appeal has been issued to the scientific community to investigate physical, mental and emotional states, and pro-social behaviours during the COVID-19 pandemic. Hence, this study aims to investigate adolescents’ self-concept before and during a lockdown period in relation to gender and type/amount of physical activity or sports. The pre-lockdown sample of 366 adolescents were aged 13–17 years (M = 15.51 ± 0.65), of whom 192 (52.5%) were females and 174 (47.5%) were males. During the lockdown, the age range of the sample was 13–17 years (M = 14.57 ± 1.47), of whom 82 (60.3%) were females, and 54 (39.7%) were males. The Form-5 Self-concept Questionnaire (AF-5) was used to measure adolescents’ self-concept. There was a reduction in adolescents’ overall self-concept during the COVID-19 pandemic, which was positively associated with emotional well-being, with family and peers being essential factors in the development of an appropriate self-concept. Furthermore, girls’ self-concept, especially academic self-concept, was higher than that of boys during the lockdown. However, both physical and emotional self-concept were higher for boys than girls before the COVID-19 lockdown, although no differences were found during the lockdown. The findings reveal that physical activity was positively correlated to self-concept before and during the COVID-19 lockdown.