Social media platforms played a critical role during the COVID-19 pandemic. This study aimed to explore: (1) the changes in social media consumption patterns, physical activity levels/sedentary behavior, and depressive symptoms, and (2) how the changes in social media consumption patterns predict the changes in depressive symptoms while investigating the mediating role of changes in physical activity levels/sedentary behavior between before, and after the COVID-19 lockdown among U.S. adults with different age clusters. A total of 695 U.S. participants completed an online questionnaire via MTurk, and participants were asked to recall their social media consumption patterns, physical activity/sedentary behavior, depressive symptoms in January and May of 2020 while covariates included non-physical activity health behavior including diet quality, alcohol consumption, smoking, and sleep quality. The results of Bayesian significance testing of changes showed that the older participants tended to spend more time with content-focused social media platforms during the lockdown. While significantly increased sitting time was reported by all age clusters, no significant changes were found in activity levels. Additionally, the middle-aged and older participants reported significantly higher depressive symptoms. The findings of a multigroup structural analysis showed the significant mediating effect of moderate-to-vigorous physical activity on the relationship between changes in social media consumption and depressive symptoms. This study highlights the need for targeting specific social media platforms for older adults and the importance of moderate-to-vigorous physical activity to alleviate the mental health issues resulting from social media consumption. The result of this study also highlights the need for sport-based intervention programs in the future and the need for more social media campaigns at the institution/organization levels established by public health stakeholders and policy makers to promote physical activity and maximize population perception and reach during the pandemic.