The gripping coronavirus disease (COVID-19) has imposed dramatic changes to many areas of daily living in all sectors of society across the world. We examined the relationship between perceived stress and health behaviors among college students during the COVID-19 pandemic. An online survey with measures of psychological stress, physical activity and exercise, and sleep and social connectedness was distributed in June and July of 2020. The survey was completed by 550 college students (mean age: 21.3 ± 3.8 years, 74.2% female, 94.4% Caucasian). Being female and unemployed and having a lower annual income were significantly associated with higher levels of stress. In addition, regression analysis found that reduced exercise and sleep during the COVID-19 pandemic significantly predicted the levels of stress of participants after controlling for gender, employment status, and annual income. University officials should aim to implement health-promotion strategies directed at preventing reductions in exercise and sleep duration, especially in those at greater risk of increased perceived stress such as females and economically disadvantaged students.