Objective To determine the factors associated with anxiety, depression, and concern within the COVID-19 pandemic in a population with autoimmune diseases. Methods A telephonic survey was conducted during the early stages of the pandemic in a tertiary care center, which included patients with systemic autoimmune diseases. Mental health variables were assessed with Patient Health Questionnaire 2, General Anxiety Disorder 7 scores, and pandemic-related concern questions. Sociodemographic aspects were also evaluated. Results Of the total 334 participants, 291 (87.1%) were women, with a median age of 46 years; systemic lupus erythematosus (SLE) was the most frequent diagnosis (144, 43.2%); 44 patients (13.2%) showed depression and 32 (9.6%) anxiety. The variables associated with depression were all the pandemic concern items, body mass index, anxiety, and a higher COVID-19 symptom score. Anxiety was associated with depression, all pandemic concern items, and a higher COVID-19 symptom score. Women presented higher scores in all concern items. The SLE group presented higher scores in concern questions and difficulty finding medication. Conclusion During the COVID-19 outbreak, rheumatic patients are vulnerable to psychiatric conditions, which makes it imperative for physicians who treat these patients to pay careful attention in order to detect them promptly and to settle coping strategies.