Anxiety, depression, and psychological stress were the most common mental health issues that surfaced during and after the COVID-19 lockdowns. The aim of this paper is to investigate the psychological impact of the second COVID-19 lockdown on the Greek population. A cross-sectional anonymous study was designed, which measured perceived stress, depression symptoms, physical activity, and quality of life. The sample was collected during the period of the second lockdown and consisted of 330 adult individuals (219 females and 111 males) with a mean age of 34.3 years, who were located in Greece. Four scales were applied to measure the constructs, the Perceived Stress Scale (PSS-14), Beck’s Depression Inventory (BDI), Quality of Life-BREF (WHOQOL-BREF), and the International Physical Activity Questionnaire (IPAQ). The main findings suggest that depression and perceived stress were more prevalent during the second lockdown compared to previous time periods. The psychological impact was elevated for women and younger individuals. Unemployed people dealt with more stress compared to full-time working individuals. The two quality-of-life domains, physical and psychological health, were negatively correlated with perceived stress and depression. We suggest targeted interventions in order to support the most vulnerable groups and enhance their well-being.