The COVID-19 pandemic has had a huge impact on people of all ages, especially children. This is a cross-sectional study in Thailand to explore the emotional and behavioral problems of school-aged children and associated factors during the lockdown. An online survey was conducted with 942 parents of school-age children. Strengths and Difficulties Questionnaire (SDQ) scores showed that total difficulties and all subscale difficulties (hyperactivity, conduct problems, peer problems, and emotional problems) were increased, whereas prosocial behaviors were decreased in the pandemic period. The factors significantly associated with higher parental stress were higher emotional and peer problems after the COVID-19 outbreak, high family difficulty, and sleep problems. Sleep problems were associated with all children’s difficulties, except prosocial behavior. High score in family difficulty subscale was associated with increased emotional problems, whereas poor family communication was associated with increased hyperactivity. Appetite change was negatively associated with parental stress and some children’s difficulties. Higher household income, family time, physical activities, and recreational activities were associated with a decreased level of some difficulties and family functioning problems, but positively with an increase in the prosocial behavior of children. Additionally, higher screen time was associated with a higher level of hyperactivity, conduct problems, and poor family communication. This study demonstrated that Thai children were at high risk of developing mental health problems during the pandemic lockdown. We suggest that intervention to promote physical activities and reduce screen time is needed. Moreover, efficient monetary policy is urgently required. The limitations here include a recall bias with no baseline to compare and a potential selection bias due to parental selection and a webpage announcement.