The restrictions enacted during lockdown to limit the spread of the novel coronavirus (SARS-CoV-2) have led to changes in people’s lifestyle habits. In Italy, these restrictions have dramatically changed the way people work and spend their leisure time, also with repercussions on diet and physical activity. An anonymous survey was disseminated via websites and social media to a convenience sample of the Italian population during and immediately after the first lockdown (10 March–18 May 2020). Data collected on 1826 individuals show that lockdown might have worsened the quality of sleep of almost half of the participants in this cross-sectional study. This worsening was associated with a deterioration in crucial determinants of health, such as physical activity and diet (OR 1.68; 95% CI 1.18–2.40 and OR 4.19; 95% CI 2.51–6.96, respectively), with symptoms of psychological distress, such as tension (OR 3.88; 95% CI 2.74–5.52) and loneliness (OR 3.27; 95% CI 2.23–4.79), and with the presence of financial problems (some OR 1.86; 95% CI 1.27–2.72; many OR 7.27; 95% CI 3.59–14.73). The multivariate regression analysis models confirmed these associations. This impact on sleep quality was seen especially among females, those with low education level, and those who experienced financial problems.