The COVID-19 lockdown has negatively affected individuals’ welfare. However, there has been no research published heretofore about the levels of self-concept (SC) in adolescents, nor how having practised martial arts (MA) or any physical activity (PA) before the lockdown may have influenced the SC in that time. Hence, this study aimed to analyze some demographic, physical, and psychosocial parameters in Spanish adolescents throughout the COVID-19 quarantine through a cross-sectional investigation, establishing correlations among these factors. Methods: The present study had a descriptive, comparative, and cross-sectional design. The sample comprised of 54 (39.7%) male and 82 (60.3%) female Spanish adolescents aged 12–18 (M = 14.49; SD = 1.80). An ad-hoc questionnaire collected sociodemographic data; the self-concept Form 5 (AF5) questionnaire obtained data on SC dimensions. Results: There were some differences among the SC dimensions, with family and academic dimensions having higher values than the physical and emotional ones. Females’ academic SC was higher than that of males (p = 0.019). The practice of PA before the lockdown was positively associated with physical (p < 0.001) and social (p = 0.012) SC, yet there was no significant association between the previous practice of MA and SC (p > 0.050). Conclusions: the findings suggest that the COVID-19 lockdown negatively affected Spanish adolescents by decreasing their total SC and some dimensions of it, although PA may buffer psychological harmfulness in adolescents.