Background: To suppress the transmission of coronavirus, many governments, including that of the island of Ireland, implemented a societal lockdown, which included school closures, limits on social gatherings, and time outdoors. This study aimed to evaluate changes in physical activity (PA), mental health, sleep, and social media use among adolescent girls during lockdown. Methods: 281 female pupils (12–14 y) taking part in the ongoing Walking In Schools study on the island of Ireland self-reported PA, mental health, sleep, and social media use before (September–October 2019) and during lockdown (May–June 2020), via questionnaires. These were supplemented with open-ended structured interviews conducted with 16 girls during lockdown. Results: During the period of lockdown and school closures, pupils tried new forms of PA and undertook PA with family, but there was no significant change in self-reported PA. There was a decline in health-related quality of life and motivation for exercise; however, self-efficacy for walking and happiness with appearance increased. There was no change in sleep quality or social media usage. Conclusions: Despite the many challenges that schools face as they reopen, there is a need to continue to prioritize PA and motivation for exercise to support health and well-being in adolescent girls.