Background Older women’s mental health may be disproportionally affected by the COVID-19 pandemic due to differences in gender roles and living circumstances associating with aging. Methods We administered an online cross-sectional nationwide survey between May 1st and June 30th, 2020 to a convenience sample of older adults aged ≥55 years. Our outcomes were symptoms of depression, anxiety, and loneliness measured by three standardized scales: the eight-item Center for Epidemiological Studies Depression Scale, the five-item Beck Anxiety Inventory, and the Three-Item Loneliness Scale. Multivariable logistic regression was used to compare the odds of depression, anxiety and loneliness between men and women, adjusting for relevant confounders. Results There were 1,541 respondents (67.8% women, mean age 69.3 ± 7.8). 23.3% reported symptoms of depression (29.4% women, 17.0% men), 23.2% reported symptoms of anxiety (26.0% women, 19.0% men), and 28.0% were lonely (31.5% women, 20.9% men). After adjustment for confounders, the odds of reporting depressive symptoms were 2.07 times higher in women compared to men (OR 2.07 [95%CI 1.50–2.87] p < .0001). The odds of reporting anxiety and loneliness were also higher. Conclusions Older women had twice the odds of reporting depressive symptoms compared to men, an important mental health need that should be considered as the COVID-19 pandemic unfolds.