The present study investigates gender differences in stressful events, psychological distress and well-being during the second wave of COVID-19 in Spain, analyzing women’s and men’s risk and resilience factors for psychological distress and for well-being. Participants were 1758 individuals from the general population, 50.8% women, aged between 18 and 79 years. Women and men did not differ in age, number of children, educational level, occupation or marital status. The participants were assessed by seven self-report questionnaires and scales. The results revealed that women experienced more psychological distress, more negative feelings, more stressful events related to the COVID-19 pandemic, more social support, and lower thriving and self-esteem than men. Multiple regression analyses showed that, in the case of women and men as well, self-esteem was the most important predictor of higher well-being and lower psychological distress and negative feelings while more COVID-19 pandemic-related stressful events were associated with higher psychological distress and lower well-being. Another important predictor of greater well-being for either gender was social support while unemployment was associated with lower well-being. In women and men, a higher educational level was associated with greater psychological distress and negative feelings; the male sample revealed that psychological distress was also connected to younger age while in women it was associated with lower instrumental social support. The results suggest that gender plays an important role in the mental health effects of the COVID-19 pandemic, with the risk being higher for women than for men.