The COVID-19 pandemic and related physical distancing measures have posed a significant threat to the mental health of adults, particularly those living alone. Accordingly, the World Health Organization implemented the #HealthyAtHome program, encouraging people to keep in regular contact with loved ones, stay physically active, and keep a regular routine. The current study aims to examine a micro-longitudinal link between behavioral activation coping strategies (exercise, meditation, relaxation, and social connection) and depressive symptoms among adults who lived alone during the COVID-19 pandemic. We used 21 biweekly waves of longitudinal data from the Understanding America Study (UAS) collected between April 2020 and February 2021 (N = 1,280). The multilevel models with correlated random effects were estimated to examine lagged effects of coping strategies (t-1) on depressive symptoms (t). The results showed that exercise was predictive of lower depressive symptoms even after controlling for time-invariant and time-varying covariates. The results showed that modifiable lifestyle factors, such as taking time to exercise, may be beneficial for the mental health of Americans living in single-person households.