The aim of the present study was to evaluate the possible correlations between sleep, physical activity, and diet in the general population of Greece during the second lockdown due to COVID-19 pandemic. A web-based questionnaire including 28 items was completed by 494 adults (age 31.5 ± 12.4 years). Half of the participants (49.8%) reported good, 44.1% moderate, and 6.1% bad quality of sleep, whereas 17.2% answered that the quality of sleep improved, 56.5% did not change, and 26.3% worsened compared to a normal week. Compared to normal, sleep duration in lockdown increased by 0.24 h (95% CI; 0.13, 0.35; p < 0.001, d = 0.198). More under-weight (32.4%) and obese (34.1%) respondents reported worsened quality of sleep in lockdown compared with normal (25.6%) and overweight participants (22.7%) (p = 0.006, Cramer’s φ = 0.191). A small effect for BMI group on sleep duration was observed (p = 0.011, η2 = 0.023), where overweight and obese slept less (–0.44 h and –0.66 h, respectively) than normal weight participants. Subjects with the highest percentage of increased food consumption reported decreased sleep duration (p = 0.012) and worsened sleep quality (p = 0.003). Compared with a normal week, physical activity of a high and moderate intensity decreased for 43.0% and 37.0% of participants, did not change in 32.9% and 36.1% of participants, and increased in 24.1% 26.9%, respectively, whereas walking time decreased in 31.3%, did not change in 27.3%, and increased in 41.5% of participants. Increased high and moderate intensity physical activity was related with an improvement in sleep quality (p < 0.001). Those with decreasing walking time reported the highest percentage of decreased sleep quality (p = 0.006) and worsened sleep quality (p = 0.016). In conclusion, both quality and quantity of sleep were impaired during the second lockdown and the observed changes were associated with diet and physical activity.