Abstract Background In England, the onset of COVID-19 and a rapidly increasing infection rate resulted in a lockdown (March-June 2020) which placed strict restrictions on movement of the public, including children. Using data collected from children living in a multi-ethnic city with high levels of deprivation, this study aimed to: (1) report children’s self-reported physical activity (PA) during the first COVID-19 UK lockdown and identify associated factors; (2) examine changes of children’s self-reported PA prior to and during the first UK lockdown. Methods This study is part of the Born in Bradford (BiB) COVID-19 Research Study. PA (amended Youth Activity Profile), sleep, sedentary behaviours, daily frequency/time/destination/activity when leaving the home, were self-reported by 949 children (9–13 years). A sub-sample (n = 634) also self-reported PA (Physical Activity Questionnaire for Children) pre-pandemic (2017-February 2020). Univariate analysis assessed differences in PA between sex and ethnicity groups; multivariable logistic regression identified factors associated with children’s PA. Differences in children's levels of being sufficiently active prior to and during the lockdown were examined using the McNemar test; and multivariable logistic regression was used to identify factors explaining change. Results During the pandemic, White British (WB) children were more sufficiently active (34.1%) compared to Pakistani Heritage children (PH) (22.8%) or ‘Other’ ethnicity children (O) (22.8%). WB children reported leaving the home more frequently and for longer periods than PH and O children. Modifiable variables related to being sufficiently active were frequency, duration, type of activity, and destination away from the home environment. There was a large reduction in children being sufficiently active during the first COVID-19 lockdown (28.9%) compared to pre-pandemic (69.4%). Conclusions Promoting safe extended periods of PA everyday outdoors is important for all children, in particular for children from ethnic minority groups. Children’s PA during the first COVID-19 UK lockdown has drastically reduced from before. Policy and decision makers, and practitioners should consider the findings in order to begin to understand the impact and consequences that COVID-19 has had upon children’s PA which is a key and vital behaviour for health and development.