The ability to make risky decisions in stressful contexts has been largely investigated in experimental settings. We examined this ability during the first months of COVID-19 pandemic, when in Italy people were exposed to a prolonged stress condition, mainly caused by a rigid lockdown. Participants among the general population completed two cognitive tasks, an Iowa Gambling Task (IGT), which measures individual risk/reward decision-making tendencies, and a Go/No-Go task (GNG), to test impulsivity, together with two questionnaires, the Perceived Stress Scale and the Depression, Anxiety and Stress Scales. The Immune Status Questionnaire was additionally administered to explore the impact of the individual health status on decision making. The effect of the questionnaires scores on task performance was examined. The results showed that higher levels of perceived stress and a more self-reported vulnerable immune status were associated, separately, with less risky/more advantageous choices in the IGT in young male participants but with more risky/less advantageous choices in older male participants. These effects were not found in female participants. Impulsivity errors in the GNG were associated with more anxiety symptoms. These findings bring attention to the necessity of taking into account decision-making processes during stressful conditions, especially in the older and more physically vulnerable male population.