Studies have been showing a negative impact of pandemic control measures on mental health. However, few studies assessed these effects longitudinally during the peak of the first wave of the COVID-19 pandemic. The goals of this study were to explore whether differential effects of COVID-19 restrictions on mental health could be observed by sex and age in a Luxembourgish nationally representative sample during the initial outbreak of COVID-19. Furthermore, we aimed to assess whether there are differences in risk and protective factors longitudinally at two assessment times. A total of 1,756 respondents aged 18 years and older (50.74% women) reported sociodemographic and socio-economic characteristics, depression, anxiety, stress, and loneliness. Women and younger respondents reported higher rates of severe depression and anxiety symptoms, suggesting higher vulnerability to the pandemic control measures. This study contributes to the investigation of mental health consequences of the pandemic and the pandemic control measures, particularly related to shifts in care task responsibilities, gender and socio-economic inequalities, as well as younger groups‘ uncertainty about the future.