Background This study examines the association between food insecurity and mental health of women during the COVID-19 pandemic in a resource poor setting. Materials and methods Data were collected at two time-points (wave 1 and 2) from 2402 women, one per household, participating in a larger study during extended COVID-19 lockdown in the rural areas of the southwest region of Bangladesh. The primary outcome of the analyses is the association between food insecurity, measured using the Food Insecurity Experience Scale (FIES), and stress level, measured using the Perceived Stress Scale (PSS), for women during the lockdown. General awareness about COVID-19 and attitude towards prescribed preventive measures were also measured since COVID-19 health concerns could exacerbate food insecurity. Results An individual-level evaluation of the effect of wave 2 FIES score on PSS score showed that worsening of the food security status increasing the stress level of the participants (95% CI: 1.61; 2.13; p-value: <0.001). Additionally, a significant negative association was observed between the PSS score and change in food security status between the two waves (Coefficient: -1.15, 95% CI: -1.30; -0.99, p-value: <0.001), indicating that deterioration in food security status over the pandemic period increasing the stress level. At the village level, the results showed a similar pattern. General awareness around ways coronavirus spreads was high, yet there were misperceptions at a higher level. Maintaining hand hygiene, wearing face masks outside the home, and going outside only when necessary were widely practised. Fewer respondents could maintain a 1.5-metre distance from others in the outside and maintained cough and sneeze etiquette. Conclusion The results indicate a higher stress level, a potential contributor to poor mental health, as food insecurity deteriorated. Policy initiatives in ameliorating immediate food insecurity during crises, improving long-term wellbeing, and expanding the reach of mental health support are warranted.