Background: The coronavirus disease 2019 (COVID‐19) pandemic and efforts to contain it have substantially affected the daily lives of most of the world's population. Objective: We describe the impact of the first COVID‐19 wave and associated social restrictions on the mental health of a large adult population. Methods: We performed a cohort study nested in a prospective randomized clinical trial, comparing responses during the first COVID‐19 wave to previous responses. We calculated the odds ratio (OR) of the population moving up one severity category on validated instruments used to measure stress (PSS‐10), anxiety (GAD‐7), depression (PHQ‐9), and Satisfaction With Life Scale (SWLS). Responses were linked to inpatient and outpatient ICD‐10 codes from registries. Models were adjusted for age, sex, comorbidities, and pre‐existing diagnoses of mental illness. Results: Of 63,848 invited participants, 42,253 (66%) responded. The median age was 60 (inter‐quartile range 53–68) and 19,032 (45%) were male. Responses during the first wave of COVID‐19 did not suggest increased stress (OR 0.97; 95% confidence interval [CI], 0.93–1.01; p = 0.28) or anxiety (OR 1.01; 95% CI, 0.96 to 1.05; p = 0.61), but were associated with decreased depression (OR 0.89; 95% CI, 0.85–0.93, p < 0.0001) and increased satisfaction with life (OR 1.12; 95% CI, 1.08–1.16, p < 0.0001). A secondary analysis of repeated measures data showed similar results. Conclusions: Social restrictions were sufficient to contain the pandemic but did not negatively impact validated measures of mental illness or psychiatric well‐being. However, responses to individual questions showed signs of fear and stress. This may represent a normal, rather than pathological, population response to a stressful situation. [ABSTRACT FROM AUTHOR]