The current study is to examine the disparities in physical activity (PA), sedentary behavior (SB), and stress levels in Korean adolescents concerning changes in their perception of family socio-economic status (SES) during COVID-19. Among a total of 6144 Korean adolescents aged 12 to 18, the participants were categorized into two groups based on their responses regarding changes in their family SES during COVID-19: Lower SES (n = 3072) and Non-changed SES (n = 3072), with matching in terms of age, gender, and BMI. All variables were assessed using the 16th year (2020) of the Korean Youth Risk Behavior Survey. Statistical analyses were conducted using SPSS 26.0 version, employing independent t-tests to examine anthropometrics’ differences and multinominal logistic regression to predict the impact of perception of family SES on PA, SB, and stress while comparing the two groups. The significance level was set at α = 0.05. Adolescents in the Lower SES group were less likely to engage in vigorous-intensity PA (VPA) and muscular strength activities compared to those in the Non-changed SES group (p < 0.001) and were 2.3 times more likely to experience a very-severe stress level than the Non-changed SES group (p < 0.001). These results shed light on the importance of promoting VPA and muscular strength activities in adolescents for their physical and mental well-being, particularly during potential future pandemics. Understanding the impact of perceived SES changes on health behaviors can inform targeted interventions and support strategies to improve the health outcomes of adolescents during challenging times.