Background: The COVID-19 pandemic has had major impact on the daily lives of adolescents. This study examined whether mental health outcomes had changed over the pandemic, and if such changes were related to changes in physical activity (PA), sedentary time, sleep, screen time, and participation in organized sports. Materials and methods: In this longitudinal study, data were collected in autumn 2019 with follow-up measurements in spring 2021. In total, 558 schools were invited and 34 schools around Stockholm with a variation in socioeconomic background were included. Physical activity and sedentary time were measured for seven consecutive days by accelerometry (Actigraph). Anxiety, health-related quality of life (HRQoL), psychosomatic health, stress, sleep duration, screen time, and organized sports participation were self-reported in questionnaires. Linear models were applied to estimate associations between changes in mental health outcomes and exposures. Results: From the baseline sample of 1,139 participants, 585 (55% girls), mean (SD) age 14.9 (0.3) years, participated in the follow-up. Between 2019 and 2021, there was a decrease in HRQoL [mean difference -1.7 (-2.3, -1.2), p < 0.001], increase in psychosomatic health problems [mean difference 1.8 (1.3, 2.3), p < 0.001], and an increase in the number of participants with high stress [from 94 (28%) to 139 (42%), p < 0.001]. Weekly light PA and sleep duration decreased and weekly sedentary time and screen time increased unrelated to changes in mental health outcomes. An increase in sleep duration during weekdays was significantly related to both a decrease in anxiety (B = -0.71, CI: -1.36, -0.06) and an increase in HRQoL (B = 1.00, CI: 0.51, 1.49). Conclusion: During the COVID-19 pandemic, mental health appears to have been impaired in Swedish adolescents, but unrelated to changes in PA, sedentary time, screen time, or participation in organized sports. However, increased sleep duration on weekdays was related to less anxiety and better HRQoL. The results may help policy makers and other stakeholders comprehend the differential effects of the COVID-19 pandemic on mental health outcomes and help guiding the planning of policy actions. Trial registration: ISRCTN15689873.