The COVID-19 pandemic has affected the mental and physical health of the general population at any age, but it is expected to have a protracted and severe consequences for younger populations. The pandemic has had several consequences on mental health including anger and irritability, depressive symptoms and somatic complaints, insomnia, lack of motivation, and loneliness. In particular, loneliness and its related negative feelings are thought to be particularly pronounced during young adulthood because of the many social changes that young people deal with during this period of life. Therefore, it is essential to evaluate the type of impact of the pandemic on the mental health of young people and their levels of loneliness experienced during the first phase of the lockdown. Based on the largest Italian study on the effects of the COVID-19 pandemic on the mental health of general population, in this paper we aim to: (1) describe the levels of loneliness in a national sample of Italian young adults aged 18–34 years, during the first wave of lockdown in 2020; (2) evaluate the clinical and socio-demographic differences in young adults reporting low vs. high levels of loneliness; (3) assess the role of clinical symptomatology, coping strategies, levels of resilience, and duration of lockdown as possible predictors of loneliness. The final sample consists of 8,584 people, mainly female (72.6%), single, with a mean age of 26.4 (±4.4) years. The mean score at the UCLA was 47.5 (±13.6), with 27% (N = 2,311) of respondents exceeding the cut-off for high levels of loneliness. High levels of loneliness were predicted by the presence of avoidant coping strategies, such as self-distraction (Beta coefficient, B = 0.369, 95% Confidence Interval, CI = 0.328–0.411), venting (B = 0.245, 95% CI = 0.197–0.293), denial (B = 0.110, 95% CI = 0.061–0.159), and emotional disengagement (B = 0.133, 95% CI = 0.080–0.185). Weeks of exposure to the pandemic were significantly associated with worsening of loneliness (p < 0.000). There is currently considerable interest in trying to reduce loneliness, both within the context of COVID-19 and more generally. Our results highlight that young people are at a higher risk of developing loneliness and suggest that more interventions and practical guidelines are needed.