Few studies have been conducted on civil volunteers and their emotional conditions concerning the current COVID-19 pandemic. The present study aimed to evaluate the impact of the COVID-19 emergency on the mental health (general well-being, depression level, and post-traumatic distress), coping strategies, and training needs in an Italian sample of 331 Civil Protection volunteers of the L’Aquila province, during the first nationwide “lockdown” (8 March–3 June 2020). The rate of respondents to the online survey was limited (11.5%), presumably because displaying distress would be considered a sign of “weakness”, making volunteers unable to do their jobs. More than 90% of the volunteers showed good mental health conditions and a wide utilization of positive coping strategies, with the less experienced displaying better emotional conditions compared to colleagues with 10 or more years of experience. The type of emergency, the relatively few cases of contagion and mortality in the territory compared to the rest of Italy, and the sense of helping the community, together with the awareness of their group identity, could have contributed to the reported well-being. These results may help to identify the needs of volunteers related to this new “urban” emergency to improve both their technical and emotional skills.