COVID-19 outbreak imposed rapid and severe public policies that consistently impacted the lifestyle habits and mental health of the general population. Despite vaccination, lockdown restrictions are still considered as potential measures to contrast COVID-19 variants spread in several countries. Recent studies have highlighted the impacts of lockdowns on the population’s mental health; however, the role of the indoor housing environment where people spent most of their time has rarely been considered. Data from 8177 undergraduate and graduate students were collected in a large, cross-sectional, web-based survey, submitted to a university in Northern Italy during the first lockdown period from 1 April to 1 May 2020. Logistic regression analysis showed significant associations between moderate and severe depression symptomatology (PHQ-9 scores ≥ 15), and houses with both poor indoor quality and small dimensions (OR = 4.132), either medium dimensions (OR = 3.249) or big dimensions (OR = 3.522). It was also found that, regardless of housing size, poor indoor quality is significantly associated with moderate–severe depressive symptomatology. Further studies are encouraged to explore the long-term impact of built environment parameter modifications on mental health, and therefore support housing and public health policies.