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Human Activity Recognition is a field of research where input data can take many forms. Each of the possible input modalities describes human behaviour in a different way, and each has its own strengths and weaknesses. We explore the hypothesis that leveraging multiple modalities can lead to better recognition. Since manual annotation of input data is expensive and time-consuming, the emphasis is made on self-supervised methods which can learn useful feature representations without any ground truth labels. We extend a number of recent contrastive self-supervised approaches for the task of Human Activity Recognition, leveraging inertial and skeleton data. Furthermore, we propose a flexible, general-purpose framework for performing multimodal self-supervised learning, named Contrastive Multiview Coding with Cross-Modal Knowledge Mining (CMC-CMKM). This framework exploits modality-specific knowledge in order to mitigate the limitations of typical self-supervised frameworks. The extensive experiments on two widely-used datasets demonstrate that the suggested framework significantly outperforms contrastive unimodal and multimodal baselines on different scenarios, including fully-supervised fine-tuning, activity retrieval and semi-supervised learning. Furthermore, it shows performance competitive even compared to supervised methods.