Objective: To analyze the associations of physical activity and TV-viewing reported changes during the COVID-19 pandemic quarantine with mental health among Brazilian adults with and without depression. Methods: Data of 43,995 Brazilian adults from a cross-sectional, nationwide behavior research were used. Participants reported the frequency on loneliness, sadness (feel sad, crestfallen or depressed) and anxiety (feel worried, anxious or nervous) feelings during the pandemic period. Frequency and duration of physical activity as well as duration of TV-viewing before and during the pandemic period were also reported. We created four categories of reported changes in physical activity (1-consistently active, 2-become active, 3-become inactive or 4-consistently inactive) and TV-viewing (1-consistently high, 2-become low, 3-become high or 4-consistently high). Participants also reported previous diagnoses of depression [yes (PD) or no (nPD). Logistic regression models separating people with and without depression were created. Results: Compared to consistently active participants, to become inactive during the pandemic was associated with a higher odds for loneliness [nPD:OR:1.32 (95%CI,1.02–1.70); PD:2.22 (1.21–4.06)], sadness [nPD:1.34 (1.01–1.77); PD:2.88 (1.54–5.36)], and anxiety [nPD:1.71 (1.30–2.25); PD:2.55 (1.20–5.42)]. Also, people with depression and consistently physically inactive presented higher odds for loneliness and sadness. Compared to consistently low TV-viewing, participants that become with high TV-viewing showed higher odds for loneliness [nPD:1.59 (1.37–1.86)], sadness [nPD:1.68 (1.44–1.96); PD:1.61 (1.21 to 2.15)] and anxiety [nPD:1.73 (1.48–2.02); PD:1.58 (1.12–2.23)]. Conclusions: Reported increases in physical inactivity and TV-viewing during the COVID-19 pandemic were associated with poorer mental health indicators. People with depression and consistently physically inactivity were more likely to present loneliness and sadness.