We conducted a large-scale survey covering 58 countries and over 100,000 respondents at the onset of the COVID-19 pandemic—between March 20 and April 7—to explore how beliefs about citizens’ and government’s response to the COVID-19 pandemic affected mental well-being. Our analyses reveal three findings. First, many respondents indicate that their country’s citizens and government’s response was insufficient. Second, respondents’ perception of an insufficient public and government response and handling is associated with lower mental well-being. Third, we exploit time variation in country-level lockdown announcements, both around the world and through an event-study in the UK, and find that strong government actions—e.g., announcing a nationwide lockdown—were related to an improvement in respondents’ views of their fellow citizens and government, and to better mental well-being. These findings suggest that policy-makers may not only need to consider how their decisions affect the spread of COVID-19, but also how such choices influence the mental well-being of their population.