On March 24, 2020 India implemented a national lockdown to prevent spread of the novel Coronavirus disease (COVID-19) among its 1.3 billion people. As the pandemic may disproportionately impact women and girls, this study examines gender differences in knowledge of COVID-19 symptoms and preventive behaviors, as well as the adverse effects of the lockdown among adolescents and young adults. A mobile phone-based survey was implemented from April 3–22, 2020 in Uttar Pradesh and Bihar among respondents randomly selected from an existing cohort study. Respondents answered questions related to demographics, COVID-19 knowledge, attitudes, and preventive behaviors practiced, and impacts on social, economic and health outcomes. Descriptive analyses and linear probability regression models were performed for all participants and separately for men and women. A total of 1,666 adolescents and young adults (18–24 years old) were surveyed; 70% were women. While most participants had high awareness of disease symptoms and preventive behaviors, there was variation by gender. Compared to men, women were seven percentage points (pp) less likely to know the main symptoms of COVID-19 (coeff = -0.071; 95% confidence interval: -0.122 - -0.021). Among women, there was variation in knowledge by education level, urban residence, and household wealth. Women were 22 pp less likely to practice key preventive behaviors compared to men (coeff = -0.222; 95% CIL -0.263, -0.181). Women were also more likely to report recent depressive symptoms than men (coeff = 0.057; 95% CI: 0.004, 0.109). Our findings underscore that COVID-19 is already disproportionately impacting adolescent girls and young women and that they may require additional targeted, gender-sensitive messaging to foster behavior change. Gender-sensitive information campaigns and provision of health services must be accessible and provide women and girls with needed resources and support during the pandemic to ensure gains in public health and gender equity are not lost.