The pandemic of coronavirus disease 2019 (COVID-19) has affected the Italian community. The widespread use of quarantine had the desired impact of controlling the epidemic, although it caused many psychological consequences. To date, compliance of the Italian public with voluntary home quarantine has been very high, but little is known about the impact of psychological health on sociodemographic categories during the quarantine. The purpose of this study was to assess the prevalence of depressive symptoms in specific sociodemographic categories during the COVID-19 quarantine lockdown and the potential factors that contribute to, or mitigate, these effects. In the very early stage of the nationwide lockdown, 3,672 quarantined Italian adult residents (65% females, ranging from 18 to 85 years) participated in a web-based cross-sectional survey, including measures of depressive symptoms, which were measured by the Teate depression inventory, and state anxiety levels. The overall prevalence was 27.8% for moderate and 9.3% for severe levels of depressive symptoms. A generalized logistic model was used to identify the factors associated with mental health problems. Among these factors, sociodemographic variables (e.g., sex, age, employment status) and adherence to quarantine guidelines were analyzed. Females, younger people, students, singles, residents in northern Italy, people who were reluctant to adhere to quarantine guidelines, and people less worried about being infected with COVID-19 were at high risk of developing depressive symptoms during the COVID-19 epidemic, also after controlling for state anxiety. These findings showed that public levels of depressive symptoms did not increase the greater likelihood of being infected. Our study suggested that the monitoring of psychological outcomes for outbreaks could identify groups at higher risk of psychological morbidities due to the current pandemic in order to target future psychological interventions for implementation.