Several governments have implemented strict measures in order to reduce the spread of COVID-19, such as lockdown measures. However, these measures have brought negative consequences at an individual level by increasing the psychological distress already exacerbated by the pandemic. In the present study, we evaluated the role of cognitive emotion regulation strategies and variables related to social support, hobbies, seeking information related to COVID-19, perceived risk of infection, and age on the levels of anxiety and depression during the lockdown in a sample of 663 Spanish-speaking adults. By using multiple regression analyses with a backward model selection procedure, 26% of the variance in anxiety was predicted by specific cognitive emotion regulation strategies, perceived risk of infection, number of hobbies, and seeking information about COVID-19. A similar procedure was used to build a model predicting depression. The resulting model predicted 38% of the variance in depression, and included specific emotion regulation strategies and age. Significant differences were found in the use of emotion regulation strategies and the experience of anxiety and depression between men and women, with women experiencing higher levels of both anxiety and depression. Based on our results, recommendations are provided for improving coping with stressful events where lockdown measures are taken.