The COVID-19 pandemic has been associated with psychological distress. In addition to physical effects including fatigue and cognitive impairment, contracting COVID-19 itself may also be related to subsequent negative mental health outcomes. The present study reports data from a longitudinal, national survey of the UK adult population investigating whether contracting suspected or confirmed COVID-19 at the early stages of the pandemic (March–May 2020) was associated with poorer mental health outcomes in May/June 2020, October/November 2020 and June/July 2021. A quota survey design and a sampling frame that permitted recruitment of a national sample (n = 3077) were utilised. Experience of contracting COVID-19 during the first UK lockdown was assessed along with levels of depression, anxiety, mental wellbeing and loneliness. Around 9% of participants reported contracting COVID-19 in March/May 2020 (waves 1–3) with just under 13% of the overall sample reporting COVID-19 at any one of the first three time points. Compared to those without probable COVID-19 infection, participants with probable COVID-19 had poorer mental health outcomes at follow-up with these effects lasting up to 13 months (e.g., May/June 2020:ORdepression = 1.70, p < 0.001; ORanxiety = 1.61, p = 0.002; Oct/Nov 2020, ORdepression = 1.82, p < 0.001; ORanxiety 1.56, p = 0.013; June/July 2021, ORdepression = 2.01, p < 0.001; ORanxiety = 1.67, p = 0.008). Having a pre-existing mental health condition was also associated with greater odds of having probable COVID-19 during the study (OR = 1.31, p = 0.016). The current study demonstrates that contracting probable COVID-19 at the early stage of the pandemic was related to long-lasting associations with mental health and the relationship between mental health status and probable COVID-19 is bidirectional.