Background: Evidence suggests increased anxious-depressive symptoms in the general population during the COVID-19 pandemic, also in its second wave. High symptom variability across individuals suggests that risk and protective factors, including coping strategies, can play a mediating role. Methods: General Anxiety Disorder-7, Patient Health Questionnaire-9, and Brief-COPE questionnaires were administered to people attending a COVID-19 point-of-care. Univariate and multivariate methods were used to test the association of symptoms with risk and protective factors. Results: A total of 3509 participants (27.5% with moderate-severe anxiety; 12% with depressive symptoms) were recruited. Sociodemographic and lifestyle factors, including age, sex, sleep, physical activity, psychiatric treatments, parenthood, employment, and religiosity were associated with affective symptoms. Avoidant (self-distraction, venting, behavioral disengagement) and approach (emotional support, self-blame but not positive reframing and acceptance) coping strategies predicted greater anxiety. Avoidant strategies, including venting, denial, behavioral disengagement, substance use, and self-blame, and the humor strategy were associated with more severe depressive symptoms, while the planning predicted the opposite. Conclusions: Coping strategies, in addition to socio-demographic and life-habit factors, could have contributed to modulating anxious and depressive symptoms during the second-wave of the COVID-19 pandemic, thus advocating for interventions aimed at promoting positive coping strategies to reduce the psychosocial toll of the pandemic.