Purpose COVID-19 has become a global pandemic. Since the Thai government announced its pandemic-related restrictions, economic indicators have inevitably been impacted. Micro, small, and medium enterprise (MSME) entrepreneurs have adapted to the unexpected changes, undoubtedly requiring government assistance. Therefore, this study assessed the prevalence of anxiety and depression in MSME restaurant entrepreneurs after the government announced its COVID-19-related restrictions. Patients and Methods An online questionnaire was developed and distributed to MSME entrepreneurs’ restaurants in Songkhla province, southern Thailand, in November 2021. Thai Hospital Anxiety and Depression Scales (Thai HADS) were used to assess the prevalence of anxiety and depression. Multiple logistic regression was used to analyze the factors associated with depression and anxiety, and the adjusted odds ratio (OR) for both variables was reported at a P -value < 0.05 for significance. Results In total, 181 MSME restaurant entrepreneurs responded to our online questionnaire in November 2021. The prevalence of anxiety and depression was 12.2% and 11.6%, respectively. Participants with a family history of psychological disorders (OR 34.9, P -value 0.003), an underlying disease (OR 7.14, P -value 0.032), a high debt-to-income ratio (OR 73.75, P -value 0.007), or a low education level were more likely to have anxiety. Similarly, participants who had an underlying disease (OR 14.29, P -value 0.032) and lacked access to supportive measures from the government (OR 6.94, P -value 0.009) were more likely to suffer from depression. Conclusion The period of restrictive policies during the COVID-19 pandemic had a negative impact on MSME restaurant entrepreneurs’ mental health. The factors that were significantly associated with anxiety were debt-to-income ratio and concern about COVID-19 prevention and treatment. The factors that were significantly associated with depression included inadequate access to government aid. Hence, the government should focus on providing and allocating healthcare resources during the COVID-19 pandemic.