In the first few months of the pandemic, Makkah region reported the highest number of COVID-19 cases among all regions in Saudi Arabia. More than 80% of these reported cases were non-Saudi residents. In this study, we evaluated the perceived threat from and psychological impact of COVID-19 among non-Saudi residents of Makkah region. This was a cross-sectional analysis of data collected using a standardized self-report questionnaire. A total of 292 expatriates were included in the study, the majority of whom were non-Arabic speakers. The prevalence of self-reported depression was nearly 40%, anxiety was 32%, and stress was 43%. The findings indicated variability in the prevalence of psychological symptoms among expatriates from different ethnic backgrounds. Additionally, work environment and perceived threat were strong predictors of psychological disorders. This suggested that the perceived threat from and psychological burden of COVID-19 among non-Saudis in Makkah region is substantial. Future research should investigate the reasons behind these variations in the psychological impact of the pandemic among different ethnic groups.