Loneliness, a feeling of distress, has aggravated due to the COVID-19 pandemic lockdowns and reduced social interactions. The objective of this study was to explore whether increased loneliness due to the COVID-19 pandemic was associated with various health behaviours in adolescence, a critical period for the development of lasting lifestyle habits. We used self-reported data from 40,521 Canadian adolescents aged 12–19 years (collected between November 2020 and June 2021) for this cross-sectional study. Logistic regression was used to predict the odds of skipping breakfast and not meeting movement behaviour guidelines [moderate-to-vigorous physical activity (≥60 min/day), recreational screen time (≤2 h/day), sleep duration (≥8 h/day)] among adolescents with increased loneliness due to the COVID-19 pandemic. We found higher odds of skipping breakfast [boys: OR 1.40 (95% CI: 1.32, 1.49), girls: OR 1.62 (95% CI: 1.53, 1.71)], exceeding screen time guidelines [boys: OR 1.43 (95% CI: 1.24, 1.66), girls: OR 1.72 (95% CI: 1.54, 1.92)], and insufficient sleep duration [boys: OR 1.38 (95% CI: 1.28, 1.48), girls: OR 1.36 (95% CI: 1.27, 1.45)] in adolescents with increased loneliness (versus decreased/stayed the same loneliness group). However, we found clinically insignificant results with moderate-to-vigorous physical activity. Future longitudinal studies in adolescents are needed to confirm the directionality of these associations. Recovery efforts are needed to support adolescent social health and establish healthy behavioural habits across the lifespan.