Background A substantial proportion of the world’s population experienced social, economic, and mental health challenges, including considerable changes in everyday life, due to the COVID-19 pandemic. However, these challenges varied in intensity depending upon occupation type and working environment. In this context, this study helps shed light on the effects of occupation type on depression through the mediation of changes in daily life and anxiety as perceived by individual workers through their experiences of the COVID-19 pandemic. Methods In total, 68,207 adults (aged 19–65 years) working in the “office” or “service” sectors were analyzed based on the raw data extracted from the 2020 National Community Health Survey conducted by the Korea Disease Control and Prevention Agency. Data analysis was performed using PROCESS Macro (Model 6) for SPSS 25 to examine how depression is affected by occupation type through a dual mediation of the changes in daily life and anxiety caused by COVID-19 as perceived by individual workers during the pandemic. Results First, service workers perceived COVID-19-related changes in daily life more acutely than the office workers. Second, service workers felt more COVID-19-related anxiety than office workers, whereby the higher the level of COVID-19-related changes in daily life perceived by the workers, the higher the level of their COVID-19-related anxiety. Finally, service workers’ perceived COVID-19-related changes in daily life more acutely than office workers, which had a positive effect on the level of COVID-19-related anxiety, ultimately increasing depression. Conclusions It was found that the impact of a special disaster situation, such as the COVID-19 pandemic, on the perceived changes in daily life and anxiety varies depending on occupation type, which suggests that different occupations have different effects on mental health outcomes. This highlights the need to develop various customized services and policies to promote mental health according to the type of occupation, considering the working environment and work characteristics of those vulnerable to COVID-19 infection.