(1) Background: A global pandemic due to COVID-19 emerged in November 2019 and hit France in early March 2020. It not only resulted in a loss of lives but also in very strict confinement measures. The objective of this study was to understand what the determinants of the change in participants’ behavior and mental state were during the confinement. (2) Methods: An online survey was launched on April 23rd, 2020, and closed on May 7th, 2020. The final sample included 1454 participants from 24 to 65 years old. Descriptive and multivariate analyses were then performed. (3) Results: 28.7% reported having a more balanced diet, against 17.1% with a less balanced diet. 22.7% of respondents reported an increased alcohol consumption, as opposed to only 12.2% declaring a decrease and 11.2% of respondents increased their tobacco consumption, while 6.3% decreased it. 50.6% of the participants reported being more depressed, stressed, or irritable since the beginning of the lockdown. Confinement had a negative effect on every behavior studied in this survey, except for nutrition. We also found that negative mental state changes were strongly associated with nutrition, sleep, physical activity, and alcohol consumption changes.