The spread of coronavirus disease 2019 (COVID-19) has called for unprecedented measures, including a national lockdown in Italy. The present study aimed at identifying psychological changes (e.g., changes in depression, stress, and anxiety levels) among the Italian public during the lockdown period, in addition to factors associated with these changes. An online follow-up survey was administered to 439 participants (original sample = 2766), between 28 April and 3 May 2020. A paired sample t-test tested for differences in stress, anxiety, and depression over the period. Multivariate regression models examined associations between sociodemographic variables, personality traits, coping strategies, depression, and stress. Results showed an increase in stress and depression over the lockdown, but not anxiety. Negative affect and detachment were associated with higher levels of depression and stress. Higher levels of depression at the start of the lockdown, as well as fewer coping strategies and childlessness, were associated with increased depression at follow-up, whereas higher levels of stress at the start of the lockdown and younger age were associated with higher stress at follow-up. These results may help us to identify persons at greater risk of suffering from psychological distress as a result lockdown conditions, and inform psychological interventions targeting post-traumatic symptoms.