Background Lockdown conditions due to the COVID-19 pandemic have affected the mental health of people, especially the youth. This study examined the effect of lockdown on mental health of Egypt, Ghana, India, Pakistan, and the Philippines and assessed the coping strategies in practice by youth. Results Philippines had the highest mean score in all three domains followed by Egypt, Pakistan, India, and then Ghana. There was a significant association of gender with stress, educational status with depression, and anxiety with stress. Students were associated with anxiety, and the history of close friends/family infected with COVID-19 was found to be associated with depression and stress scores. The most common coping strategy for the Philippines was self-destruction; for Pakistan was religion; and for Egypt, India, and Ghana was acceptance. Using linear regression model, the highest scores observed in all three domains were associated with avoidant coping. Conclusions The findings of the study confirm that COVID-19 lockdown has affected the mental health of young adults. In particular, the presence of negative coping strategies used by the youth tends to be an indicator of increased levels of stress, anxiety, and depression and it should be considered when planning interventions within this population.