The main objective of this study is to understand and characterize the adoption of an ecological perspective and the physical, psychological, social, and contextual health factors that may influence the adjustment to and mental health experiences during the COVID-19 pandemic. The study included 5479 participants, of which 3710 were female (67.7%), aged between 18 and 90 years old, with a mean age of 48.57 years (SD = 14.29), were considered three age groups: 21.5% up to 35 years old, 61.8% between 36 and 64 years old, and 16.7% 65 years old or more. The mental health and individual adjustment to the COVID-19 situation are explained by socio-demographic factors, health-related factors, lifestyles, attitudes and behaviors, lockdown experience, and place of residence. A better adaptation and mental health are observed among men, people with a higher educational level, people with lower sadness, nervousness, and burnout, and people whose health situation did not worsen with the pandemic. In terms of lifestyle, a better adaptation is related to a better quality of sleep, fewer nightmares, a higher practice of physical activity, and less consumption of processed foods and sweets. A better adaptation is also associated with lower levels of dependence on alcohol, TV, and SN (social networks) and a more positive experience of the lockdown imposed by the pandemic. Gender and age group differences in the described context were studied. Promoting a better adjustment and improved mental health when dealing with the COVID-19 requires an ecological understanding and multitarget interventions, targeting physical, mental, and social health together with the contextual environment.