(1) Background: this study aimed to evaluate the worries, anxiety, and depression in the public during the initial coronavirus disease 2019 (COVID-19) pandemic lockdown in three culturally different groups of internet survey respondents: Middle Eastern (Israel), European (Poland), and North American (Canada). (2) Methods: a cross-sectional online survey was conducted in the mentioned countries during the lockdown periods. The survey included a demographic questionnaire, a questionnaire on personal concerns, and the Patient Health Questionnaire-4 (PHQ-4). A total of 2207 people successfully completed the survey. (3) Results: Polish respondents were the most concerned about being infected. Canadian respondents worried the most about their finances, relations with relatives and friends, and both physical and mental health. Polish respondents worried the least about their physical health, and Israeli respondents worried the least about their mental health and relations with relatives and friends. Canadian respondents obtained the highest score in the PHQ-4, while the scores of Israeli respondents were the lowest. (4) Conclusions: various factors should be considered while formulating appropriate solutions in emergency circumstances such as a pandemic. Understanding these factors will aid in the development of strategies to mitigate the adverse effects of stress, social isolation, and uncertainty on the well-being and mental health of culturally different societies.