During COVID-19 pandemic, quality of living was impacted by social isolation, loneliness, and altered sleep habits. The aims of this study were (1) to examine the relationship between physical activity (PA) levels with insomnia and loneliness among adults during Spain’s first COVID-19 wave of lockdown and its impact on women and (2) to examine the digital technologic resources used to support both PA and other recreational activities in women. A cross-sectional design was used. An anonymous 15-min online survey was conducted in Spain to adults (≥ 18 years old) during the first COVID-19 lockdown, a 40-day period. A snowball distribution method was employed using personal email and social networks (Facebook, Whatsapp, Linkedin, Twitter). Variables studied included: socio-demographic items, insomnia, loneliness, PA, and digital technologic resources. A total of 996 adults (females = 663, 66.6%) completed the survey. Higher education levels were associated with greater PA levels (p-value < 0.001). Women presented with higher insomnia risk than men with low PA levels (OR = 1.9, CI = 1.25; 2.95). Living with family members or other individuals was related to lower insomnia risk. A strong correlation between medium–high PA levels was found with greater digital technology resources (DTS) than individuals with low PA levels. Females used significantly more DTS than males (p-value < 0.001). No significant associations between DTS were found with age or academic education level. PA levels, sex, and loneliness were related to insomnia risk. A strong correlation between PA and DTS use was observed. Participants with medium–high PA levels and females use them more than those with low PA levels and males. We recommend promoting the PA through digital technologies for women. This recommendation would also improve sleep disorders in women who present higher insomnia risks than men.