Anxiety, depression, and stress are common and expected reactions to the coronavirus disease (COVID-19) pandemic. The objective of this study is to analyze psychological distress in a sample of Spanish population, identifying the predictive nature of the information received, the preventive measures taken, level of concern, beliefs, and knowledge about the infection. A cross-sectional observational study was conducted on a sample of 4615 participants. Data were collected through a self-prepared questionnaire and the general health questionnaire (GHQ-12). Bivariate analyses and logistic regressions were performed. Of the total participants, 71.98% presented psychological distress. The study population actively sought information about coronavirus, expressed a high level of concern and knowledge, and the most frequent preventive behavior was hand washing. As predictive factors, the degree of concern for COVID-19 was identified (odds ratio (OR) = 1.244, 95% confidence interval (CI) = [1.179, 1.312]), the number of hours spent consulting information on COVID-19 (OR = 1.038, 95% CI = [1.009, 1.068]), or the need for psychological support (OR = 1.135, 95% CI = [1.094, 1.177]), among others. These results could help design more effective strategies towards a psycho-emotional approach for the population when in similar health crisis situations. There is a need for interventions aimed at the psychological well-being of the population that meet the needs of their reality.