Aims The coronavirus disease 2019 (COVID-19) pandemic represents an unprecedented threat to mental health. Herein, we assessed the impact of COVID-19 on subthreshold depressive symptoms and identified potential mitigating factors. Methods Participants were from Depression Cohort in China (ChiCTR registry number 1900022145). Adults (n = 1722) with subthreshold depressive symptoms were enrolled between March and October 2019 in a 6-month, community-based interventional study that aimed to prevent clinical depression using psychoeducation. A total of 1506 participants completed the study in Shenzhen, China: 726 participants, who completed the study between March 2019 and January 2020 (i.e. before COVID-19), comprised the ‘wave 1’ group; 780 participants, who were enrolled before COVID-19 and completed the 6-month endpoint assessment during COVID-19, comprised ‘wave 2’. Symptoms of depression, anxiety and insomnia were assessed at baseline and endpoint (i.e. 6-month follow-up) using the Patient Health Questionnaire-9 (PHQ-9), Generalised Anxiety Disorder-7 (GAD-7) and Insomnia Severity Index (ISI), respectively. Measures of resilience and regular exercise were assessed at baseline. We compared the mental health outcomes between wave 1 and wave 2 groups. We additionally investigated how mental health outcomes changed across disparate stages of the COVID-19 pandemic in China, i.e. peak (7–13 February), post-peak (14–27 February), remission plateau (28 February−present). Results COVID-19 increased the risk for three mental outcomes: (1) depression (odds ratio [OR] = 1.30, 95% confidence interval [CI]: 1.04–1.62); (2) anxiety (OR = 1.47, 95% CI: 1.16–1.88) and (3) insomnia (OR = 1.37, 95% CI: 1.07–1.77). The highest proportion of probable depression and anxiety was observed post-peak, with 52.9% and 41.4%, respectively. Greater baseline resilience scores had a protective effect on the three main outcomes (depression: OR = 0.26, 95% CI: 0.19–0.37; anxiety: OR = 1.22, 95% CI: 0.14–0.33 and insomnia: OR = 0.18, 95% CI: 0.11–0.28). Furthermore, regular physical activity mitigated the risk for depression (OR = 0.79, 95% CI: 0.79–0.99). Conclusions The COVID-19 pandemic exerted a highly significant and negative impact on symptoms of depression, anxiety and insomnia. Mental health outcomes fluctuated as a function of the duration of the pandemic and were alleviated to some extent with the observed decline in community-based transmission. Augmenting resiliency and regular exercise provide an opportunity to mitigate the risk for mental health symptoms during this severe public health crisis.