Background: This study aimed to analyze the experiences related to distance learning in a large sample of students in upper secondary school during the first wave of the COVID-19 pandemic in Italy and to explore the potentialities of distance learning for students’ well-being. Methods: Between 22 April and 1 May 2020, 1017 students completed an online survey about the characteristics of online didactic, the availability of devices for distance learning, and the psychological experiences related to e-learning. Results: All Italian schools have adopted distance learning, even if each teacher employs different approaches to e-learning. Students are aware of the importance of distance learning for the containment of the pandemic and of the need to continue with online teaching to avoid the resumption of the infections. However, distance learning is associated with a significant increase in student workload and a consequent psychological distress related to homework. Specifically, students are more distracted in studying, have difficulty organizing study and are concerned that their school career may be adversely affected by the lockdown. Furthermore, a significant percentage does not perceive adequate support from teachers. Conclusions: Future studies will have to explore the impact of distance learning even in the subsequent waves of contagion, taking into account the persistence of the stress from the pandemic.