The novel coronavirus (COVID-19) has enforced dramatic changes to daily living including economic and health impacts. Evidence for the impact of these changes on our physical and mental health and health behaviors is limited. We examined the associations between psychological distress and changes in selected health behaviors since the onset of COVID-19 in Australia. An online survey was distributed in April 2020 and included measures of depression, anxiety, stress, physical activity, sleep, alcohol intake and cigarette smoking. The survey was completed by 1491 adults (mean age 50.5 ± 14.9 years, 67% female). Negative change was reported for physical activity (48.9%), sleep (40.7%), alcohol (26.6%) and smoking (6.9%) since the onset of the COVID-19 pandemic. Significantly higher scores in one or more psychological distress states were found for females, and those not in a relationship, in the lowest income category, aged 18–45 years, or with a chronic illness. Negative changes in physical activity, sleep, smoking and alcohol intake were associated with higher depression, anxiety and stress symptoms. Health-promotion strategies directed at adopting or maintaining positive health-related behaviors should be utilized to address increases in psychological distress during the pandemic. Ongoing evaluation of the impact of lifestyle changes associated with the pandemic is needed.