The objective of this study was to test the differences between the mean scores of victimization, an indicator of depression, stress, and anxiety (DASS), across seven countries (Australia, Chile, India, Indonesia, Mexico, Poland, and the Russian Federation) during the COVID-19 lockdowns. In addition, this study sought to analyze the mediator role of resilience in these relationships in the different countries. To this end, a structural equation model (SEM) was tested and differences across countries were considered through a multigroup analysis. Data for adolescent students from seven countries (n = 7241) collected by the Global Research Alliance showed that levels of anxiety, depression, and stress among adolescents were different in the countries assessed; all of them presented values above the mean of the indicator, with Chile and Russia having the highest values. Regarding the prevalence of exposure to violence, the mean across all countries studied was 34%, with the highest prevalence in Russia and India. At the global level, an adequate adjustment was observed in the SEM mediation model considering all countries. However, a mediator effect of resilience was only observed in the relationship between victimization and the indicator of DASS in Chile, Indonesia, and Russia. The results are discussed, analyzing the relevance of resilience as a protective factor for mental health during COVID-19 lockdowns.