Our research investigated the psychological impact of the COVID-19 pandemic on mental health and examined factors exacerbating or mitigating the negative effects of lockdown. Through a large multi-country online survey (N=8,229), we showed that levels of anxiety and depression were on average elevated worldwide, and were exacerbated by social isolation and feelings of low control. Social isolation furthermore increased with the duration of lockdown, but was eased by frequently communicating with close others. Other mitigating factors included adaptive but not maladaptive coping, and perceiving and trusting that one’s government is dealing with the pandemic. Individual actions to attempt avoiding contracting the virus were associated with higher anxiety, except when done professionally by key workers. We conclude that the psychological detrimental effects of lockdown may be alleviated by maintaining frequent social contact, adaptive coping, and governmental actions which show capability, benevolence, and integrity in managing a public health crisis.