The present study analyzes the effects of each containment phase of the first COVID-19 wave on depression levels in a cohort of 121 adults with a history of major depressive disorder (MDD) from Catalonia recruited from 1 November 2019, to 16 October 2020. This analysis is part of the Remote Assessment of Disease and Relapse-MDD (RADAR-MDD) study. Depression was evaluated with the Patient Health Questionnaire-8 (PHQ-8), and anxiety was evaluated with the Generalized Anxiety Disorder-7 (GAD-7). Depression’s levels were explored across the phases (pre-lockdown, lockdown, and four post-lockdown phases) according to the restrictions of Spanish/Catalan governments. Then, a mixed model was fitted to estimate how depression varied over the phases. A significant rise in depression severity was found during the lockdown and phase 0 (early post-lockdown), compared with the pre-lockdown. Those with low pre-lockdown depression experienced an increase in depression severity during the “new normality”, while those with high pre-lockdown depression decreased compared with the pre-lockdown. These findings suggest that COVID-19 restrictions affected the depression level depending on their pre-lockdown depression severity. Individuals with low levels of depression are more reactive to external stimuli than those with more severe depression, so the lockdown may have worse detrimental effects on them.