Background Psychological disorders are common among individuals who experienced COVID-19. Previous studies have shown that females report higher depression and anxiety than males. The present study aims to test the differences in depression and anxiety between males and females who have experienced COVID-19. This a descriptive, observational, comparative study, among Saudi Arabian population. A total of 686 participants have been recruited. Participants completed an online questionnaire that contains questions about sociodemographic, COVID-19, Generalized Anxiety Disorder (GAD-7) questionnaire, and Patient Health Questionnaire (PHQ-9) to measure anxiety and depression, respectively. Results Twenty-six percent of the participants were excluded and our final sample consisted of 507 participants (median age 23; 65% females). Of the final sample, 23% (118) have been previously diagnosed with COVID-19. There is no significant difference in GAD-7 and PHQ-9 scores between COVID-19- positive and COVID-19-negative populations. However, females who have experienced COVID-19 reported significantly higher GAD-7 and PHQ-9 scores compared to males. Conclusion The results of our study show that females are significantly at a higher risk for depression and anxiety as a result of COVID-19 infection compared to males. Further epidemiological studies are required for a better understanding of this correlation.