The aim of our study was to investigate the association between lifestyle behaviors and symptoms of depression and anxiety during the COVID-19 pandemic in Canada. A web survey was conducted between July 3–August 3, 2020, across Canada. The main outcomes considered were a positive screening for depression, as evaluated by the PHQ-2 and positive screening for anxiety, as evaluated by the GAD-7. Lifestyle behaviors were assessed using the Short Multidimensional Lifestyle Inventory Evaluation—Confinement (SMILE-C), an instrument adapted for lifestyle behaviors during the COVID-19 pandemic. The total sample size included 404 participants, of which 24.3% had a positive screen for depression, 20.5% for anxiety, and 15.5% for both. We found significant differences in SMILE-C scores between individuals with a positive and individuals with a negative screen for depression (P <.001). Likewise, there were significant differences in SMILE-C scores between individuals with a positive and individuals with a negative screen for anxiety (P <.001). We found an association between unhealthy lifestyle behaviors and symptoms of depression and anxiety during the COVID-19 lockdown in Canada. The findings highlight the importance of lifestyle medicine (LM) education and targeted lifestyle interventions to promote healthy behaviors and help reduce the burden of mental disorders.