The coronavirus pandemic (COVID-19), as a widespread health threat, has triggered an increase in health-related behaviours, both pro-and anti-health, especially with regard to diet and physical activity. One of the factors modifying the intensity of such activities may be the religious doctrine and religiosity with which a person is associated. A total of 1502 people (1147 women) from countries that feature one dominant religion, took part in the study. Participants represented Sunni Islam (Egypt, n = 798), Roman Catholicism (Poland, n = 443) and Orthodox Christianity (Romania, n = 261). The Coronavirus Anxiety Scale, the Eating Attitudes Test and the Inventory of Physical Activity Objectives were used in the study. Fear of COVID-19 is associated with engagement in pro-health activity, although not to such a significant extent as might be expected. The type of religion in question was revealed to moderate this relationship, but the intensity of religiosity was not found to serve as a moderator.