Since the beginning of the COVID-19 pandemic a decline in mental health has been reported. This online study investigated mental health and well-being in Austria during a strict lockdown. In total, N = 1505 participants were recruited between 23 December 2020 and 4 January 2021 and levels of depression (PHQ-9), anxiety (GAD-7), sleep quality (ISI), well-being (WHO-5), quality of life (WHO-QOL) and stress (PSS-10) were measured. 26% scored above the cut-off for moderate depressive symptoms (PHQ-9 ≥ 10; ♀ = 32%; ♂ = 21%), 23% above the cut-off for moderate anxiety (GAF-7 ≥ 10; ♀ = 29%; ♂ = 17%) and 18% above the cut-off for moderate insomnia (ISI ≥ 15; ♀ = 21%; ♂ = 16%). Mean-scores for quality of life (psychological WHO-QOL) were 68.89, for well-being (WHO-5) 14.34, and for stress (PSS-10) 16.42. The youngest age group (18–24) was most burdened and showed significantly more mental health symptoms compared with the oldest age group (65+) in depressive symptoms (50% vs. 12%), anxiety symptoms (35% vs. 10%), and insomnia (25% vs. 11%, all p-values < 0.05). Mental health decreased compared to both the first lockdown earlier in 2020 and pre-pandemic data. Further analyses indicate these findings were especially apparent for the under 24-year-olds, women, single/separated people, low incomes and those who do not partake in any physical activity (all p-values < 0.05). We highlight the need for ongoing mental health support, particularly to the most burdened groups.