Healthcare workers have had the longest and most direct exposure to COVID-19 and consequently may suffer from poor mental health. We conducted one of the first repeated multi-country analysis of the mental wellbeing of medical doctors (n = 5,275) at two timepoints during the COVID-19 pandemic (June 2020 and November/December 2020) to understand the prevalence of anxiety and depression, as well as associated risk factors. Rates of anxiety and depression were highest in Italy (24.6% and 20.1%, June 2020), second highest in Catalonia (15.9% and 17.4%, June 2020), and lowest in the UK (11.7% and 13.7%, June 2020). Across all countries, higher risk of anxiety and depression symptoms were found among women, individuals below 60 years old, those feeling vulnerable/exposed at work, and those reporting normal/below-normal health. We did not find systematic differences in mental health measures between the two rounds of data collection, hence we cannot discard that the mental health repercussions of the pandemic are persistent.