The aim of the present research was to analyze the effect of anxiety levels during the COVID-19 pandemic in the use of social media and compliance with lockdown measures during the confinement. A total of 1723 participants (32.1% males and 77.9% females; 32.6 ± 9.2 years) were interviewed by a Spanish version of the Spielberger State-Trait Anxiety Inventory. From the results obtained, the sample was divided into two 50th percentile groups, a high anxiety group (HAG) and a low anxiety group (LAG). We found how the LAG had lower use of social networks such as Facebook and Twitter during confinement. Also, this group presented a higher rate of leaving home during the confinement and higher values in people with whom they had lived with during confinement than high anxiety group. Regardless of the lack of results in the remaining variables, the present study nuances the high levels of anxiety experienced during COVID-19 confinement. The multifactorial analysis of factors related to the perception of anxiety during COVID-19 confinement may be a useful tool to measure multiple social behaviors when examining mental health factors. Thus, explaining and preventing the psychological consequences of the COVID-19 pandemic. The present knowledge could be used to determine key intervention factors for reducing the perception of fear and anxiety.