The COVID-19 pandemic has critical implications for mental health in children. This study examined how the COVID-19 lockdown affected sleep duration and anxiety symptoms in Chinese school-aged children and the bidirectional association between sleep and anxiety before and during the COVID-19 lockdown. A school-based longitudinal cohort study was conducted to examine the relationship between sleep duration and anxiety scores before and after the COVID-19 lockdown from January to May 2020. Generalized estimating equations model was used to identify variables that contributed to the changes in sleep duration. The bidirectional relationship between sleep duration and anxiety symptoms was explored by cross-lagged analysis. 7681 children completed two waves of surveys were included in the analysis. The daily exercise duration, anxiety symptoms, and sleep duration decreased significantly during the lockdown compared with that before the lockdown. Based on generalized estimating equations model, older age, secondary school, and higher anxiety scores of participants were positively associated with sleep duration, while female and no COVID-19 infection history were negatively associated with it. Cross-lagged analysis showed higher anxiety score of children before the lockdown was significantly associated with shorter sleep duration during the lockdown; and shorter sleep duration of children before the lockdown was also significantly associated with a higher anxiety score during the lockdown. Under the context of the COVID-19 pandemic, there were longitudinal, bidirectional associations between children's anxiety symptoms and sleep duration. For school students, mental health services and sleep education should be considered in the daily health education curriculum.