The infection caused by SARS-CoV-2, responsible for the COVID-19 pandemic, is characterized by an infectious period with either asymptomatic or pre-symptomatic phases, leading to a rapid surge of mild and severe cases putting national health systems under serious stress. To avoid their collapse, and in the absence of pharmacological treatments, during the early pandemic phase countries worldwide were forced to adopt strategies, from elimination to mitigation, based on non-pharmacological interventions which, in turn, overloaded social, educational and economic systems. To date, the heterogeneity and incompleteness of data sources does not allow to quantify the multifaceted impact of the pandemic at country level and, consequently, to compare the effectiveness of country responses. Here, we tackle this challenge from a complex systems perspective, proposing a model to evaluate the impact of systemic failures in response to the pandemic shock. We use health, behavioral and economic indicators for 44 countries to build a shock index quantifying responses in terms of robustness and resilience, highlighting the crucial advantage of proactive policy and decision making styles over reactive ones, which can be game-changing during the emerging of a new variant of concern.