ObjectivesTo explore clinically important increases in depression/anxiety from before to during the first UK COVID-19 lockdown and factors related to this change, with a particular focus on ethnic differences.DesignPre-COVID-19 and lockdown surveys nested within two longitudinal Born in Bradford cohort studies.Participants1860 mothers with a child aged 0–5 or 9–13, 48% Pakistani heritage.Main outcome measuresORs for a clinically important increase (5 points or more) in depression (eight item Patient Health Questionnaire (PHQ-8)) and anxiety (Generalised Anxiety Disorder Assessment (GAD-7)) in unadjusted regression analyses, repeated with exposures of interest separated by ethnicity to look for differences in magnitude of associations, and lived experience of mothers captured in open text questions.ResultsThe number of women reporting clinically important depression/anxiety increased from 11% to 20% (95% CI 10%–13%; 18%–22%) and from 10% to 16% (95% CI 8%–11%; 15%–18%), respectively. Increases in depression/anxiety were associated with loneliness (OR=8.37, 95% CI 5.70 to 12.27; 8.50, 95% CI 5.71 to 12.65, respectively); financial (6.23, 95% CI 3.96 to 9.80; 6.03, 95% CI 3.82 to 9.51), food (3.33, 95% CI 2.09 to 5.28; 3.46, 95% CI 2.15 to 5.58) and housing insecurity (3.29, 95% CI 2.36 to 4.58; 3.0, 95% CI 2.11 to 4.25); a lack of physical activity (3.13, 95% CI 2.15 to 4.56; 2.55, 95% CI 1.72 to 3.78); and a poor partner relationship (3.6, 95% CI 2.44 to 5.43; 5.1, 95% CI 3.37 to 7.62). The magnitude of associations between key exposures and worsening mental health varied between ethnic groups.Responses to open text questions illustrated a complex interplay of challenges contributing to mental ill health including: acute health anxieties; the mental load of managing multiple responsibilities; loss of social support and coping strategies; pressures of financial and employment insecurity; and being unable to switch off from the pandemic.ConclusionsMental ill health has worsened for many during the COVID-19 lockdown, particularly in those who are lonely and economically insecure. The magnitude of associations between key exposures and worsening mental health varied between ethnic groups. Mental health problems may have longer term consequences for public health and interventions that address the potential causes are needed.