Background/Objective: Mental health problems are common among adolescents and greatly influenced by stressful events. This study sought to assess the prevalence and correlates of insomnia, depressive and anxiety symptoms among Chinese adolescents during the COVID-19. Method: Cross-sectional study (N = 1,794 adolescents, mean age = 15.26) was conducted in May 2020. An online survey was used to collect socio-demographic data, COVID-related fear (COVID-fear), nutrition, physical activity (PA) level and the symptoms of insomnia, depression and anxiety. Results: The prevalence of insomnia, depressive and anxiety symptoms was 37.80%, 48.20% and 36.70%, respectively, among Chinese adolescents during the pandemic. Generalized linear models revealed that female, left behind children, and students with greater COVID-fear tended to report symptoms of insomnia, depression and anxiety concurrently. After adjusting for socio-demographic factors and COVID-fear, better nutritional status and moderately active PA were both associated with lower levels of depressive and anxiety symptoms, while highly active PA was associated with lower levels of insomnia, depressive and anxiety symptoms. Conclusions: These findings suggest that more attention should be paid to psychological health among adolescents while combating COVID-19. To promote adolescents’ mental health, educators should help adolescents develop a healthy lifestyle with balanced diet and regular exercise.