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A better understanding of the effects of the lockdown on lifestyle behaviors may help to guide the public health response to COVID-19 at a national level and to update the global strategy to respond COVID-19 pandemic. The aim of the study was to examine the effects of the COVID-19 lockdown on device-measured physical activity (PA), sedentary time, sleep and self-regulation; and to determine whether PA and sleep are related to self-regulation problems during the lockdown. PA, sedentary time and sleep were assessed using accelerometry in the week in which the Spanish national state of alarm was declared (n= 21). Parents reported preschooler’s self-regulation difficulties (internalizing and externalizing) before (n= 268) and during the lockdown (n= 157) by a validated questionnaire. Preschoolers showed a decrease in total PA (mean difference [MD]=− 43.3 min per day, 95% CI− 68.1 to− 18.5), sleep efficiency (MD=− 2.09%, 95% CI− 4.12 to− 0.05), an increase in sedentary time (MD= 50.2 min per day, 95% CI 17.1 to 83.3) internalizing (MD= 0.17, 95% CI 0.06 to 0.28) and externalizing (MD= 0.33, 95% CI 0.23 to 0.44) problems. Preschoolers who met the World Health Organization recommendations for PA had lower internalizing scores than non-active peers (MD=− 1.28, 95% CI− 2.53 to− 0.03). Our findings highlight the importance of meeting PA recommendations to reduce psychosocial difficulties during a lockdown situation.