In the absence of a vaccine, social distancing behaviour is pivotal to mitigate COVID-19 virus spread. In this large-scale behavioural experiment, we gathered data during Smart Distance Lab: The Art Fair (n = 787) between August 28 and 30, 2020 in Amsterdam, the Netherlands. We varied walking directions (bidirectional, unidirectional, and no directions) and supplementary interventions (face mask and buzzer to alert visitors of 1.5 metres distance). We captured visitors' movements using cameras, registered their contacts (defined as within 1.5 metres) using wearable sensors, and assessed their attitudes toward COVID-19 as well as their experience during the event using questionnaires. We also registered environmental measures (e.g., humidity). In this paper, we describe this unprecedented, multi-modal experimental data set on social distancing, including psychological, behavioural, and environmental measures. The data set is available on Figshare and in a MySQL database. It can be used to gain insight into (attitudes toward) behavioural interventions promoting social distancing, to calibrate pedestrian models, and to inform new studies on behavioural interventions.