International evidence published so far shows that the COVID-19 pandemic has negatively impacted on global mental health. Specifically, there is some research suggesting that the psychological distress related to depression, anxiety and posttraumatic stress has impacted on the psychological well-being of the general population. Yet, there is limited evidence on the relational paths between COVID-19 traumatic distress and depression. Participants of this cross-sectional study were 456 adults 18 years old or older from the general population (Mean age = 41.2 years, SD = 11.7) who completed an online questionnaire including measures assessing depression, anxiety, resilience, hope and traumatic distress related to COVID-19. Structural equation modelling was applied to examine the proposed mediation model. The results confirmed the proposed model, with traumatic distress of COVID-19, resilience, anxiety and hope explaining a considerable amount of variance (59%) in depression scores. Traumatic distress of COVID-19 was a strong positive predictor of depression, while anxiety, hope and resilience were both joint and unique mediators of this relationship. Exposure to the COVID-19 pandemic is strongly associated with depression in adults of the general population. The co-occurrence of anxiety may negatively contribute to experiencing higher levels of depression, while resilience and hope may act as buffers against depression associated with the impact of this pandemic. Our findings suggest that wide community-based interventions designed to promote resilience, build hope and reduce anxiety may help mitigate depression associated with exposure to the COVID-19 pandemic.