Changes in exercise behavior and negative emotional states (i.e., depression, anxiety, and stress) in combat sport (e.g., boxing, wrestling, martial arts) athletes were examined the month prior to gym closures related to the COVID-19 pandemic (February 2020), and approximately 1 month following gym closures (May 2020). A total of 312 combat sport athletes from 33 different countries responded to the study solicitation. Results indicated a significant decrease in combat sport training following gym closures; however, participation in other exercise activities did not significantly change. Significant mean increases in depression, anxiety, and stress were found following combat gym closures. Regression analyses revealed that number of hours of participants participated in combat sport training added significant incremental variance explained in depressive and stress symptoms above and beyond that accounted for by sex differences, preexisting conditions, and training level. Practical implications regarding losses to preferred exercise activities are discussed.