The study investigated if rurality, area deprivation, access to outside space (Study 1), and frequency of visiting and duration in green space (Study 2) are associated with mental health during the COVID-19 pandemic and examined if individual demographics (age, gender, COVID-19 shielding status) and illness beliefs have a direct association with mental health during the COVID-19 pandemic. A serial, weekly, nationally representative, cross-sectional, observational study of randomly selected adults was conducted in Scotland during June and July 2020. If available, validated instruments were used to measure psychological distress, individual demographics, illness beliefs, and the following characteristics: Rurality, area deprivation, access to residential outside space, frequency of visiting, and duration in green space. Simple linear regressions followed by examination of moderation effect were conducted. There were 2969 participants in Study 1, of which 1765 (59.6%) were female, 349 (11.9%) were in the shielding category, and the median age was 54 years. There were 502 participants in Study 2, of which 295 (58.60%) were female, 58 (11.6%) were in shielding category, and the median age was 53 years. Direct effects showed that psychological distress was worse if participants reported the following: Urban, in a deprived area, no access to or sharing residential outside space, fewer visits to green space (environment), younger, female, in the shielding category (demographics), worse illness (COVID-19) representations, and greater threat perception (illness beliefs). Moderation analyses showed that environmental factors amplified the direct effects of the individual factors on psychological distress. This study offers pointers for public health and for environmental planning, design, and management, including housing design and public open space provision and regulation.