Background: As a result of social isolation during the COVID-19 pandemic, changes in sleep patterns have been observed in many countries, as well as changes in physical activity and screen time. The objective was to investigate sleep duration and quality during the COVID-19 pandemic and its association with physical activity and screen time. Methods: Cross-sectional study with students from a University in Rio de Janeiro who answered an online questionnaire between August 2020 and March 2021. Physical activity was assessed using IPAQ-SF. Sleep was investigated based on questions about duration and sleep quality change, and screen time through self-reported questions. Multinomial logistic regression was performed to assess the association between physical activity and screen time with sleep duration and quality. Secondary analyses investigated the influence of the isolation time on this association. The confounding factors used were diagnosis of COVID-19, time of isolation, anxiety, depression, skin color, and gender. Results: A total of 771 college students with a mean age of 24.5 years (±8.6) answered the questionnaire. About 75% reported more than 8 h of screen time per day and 49.8% were physically inactive. Regarding sleep, 54.9% had worsening sleep, while 40.6% had inadequate sleep duration during the pandemic. Physical activity was associated with improved sleep quality (Odds ratio (OR) 1.72; confidence interval (95% CI) 1.05-2.97). Also, physically active students who spent more than 14 weeks in social isolation demonstrated improved sleep quality (OR 1.99; 95% CI 1.02-3.78) compared to physically inactive individuals. No association was observed for sleep duration. No association was observed between screen time and sleep quality, or sleep duration. Conclusion: During the COVID-19 pandemic, there was considerable worsening of sleep quality, and physical activity was positively associated with improved sleep quality.