During the current COVID-19 pandemic, most governments around the world have adopted strict COVID-19 lockdown measures. In Denmark, mainly from January to March 2021, an anonymous protest group called Men in Black organized demonstrations against the Danish COVID-19 lockdown measures in the three major cities in Denmark. Based on an online survey that we carried out in March 2021 in the Danish population aged 16 years and above (n = 2692), we analyze the individual-level factors behind supporting these demonstrations. Based on ordered logit regressions, the results show that being Muslim and being self-employed (business owner) was positively related to supporting the demonstrations, and that age and living in a city municipality was negatively related to supporting the demonstrations. Based on structural equation modeling (SEM), the results showed that the municipal COVID-19 incidence rate mediates the effect of living in a city municipality, that institutional trust mediates the effect of being Muslim, and that COVID-19 health concerns and institutional trust mediate the effect of age. Overall, economic stress among business owners, health concerns, and institutional trust were found to be the main predictors of supporting the demonstrations against the COVID-19 lockdown measures in Denmark.