Most studies consider that COVID-19 lockdowns lead to mental health problems for females, while the effect of role change on female mental health has been overlooked. This study aimed to explore multiple facets of the risk of mental distress in a sample of Chinese married females aged 21–50 during the COVID-19 lockdowns. A cross-sectional study was carried out with 613 valid responses from married females in the Guangdong province. Our primary tool was a questionnaire using a Kessler-10 scale to detect the probability of mental distress based on the level of nervousness, tiredness, restlessness, and depression. Eighty-eight point three percent of married females possessed a high risk of psychological distress because they frequently felt tired out, hopeless, and restless. The evidence suggests that the lockdown has caused a conflict in the female role to maintain a balance between family and career. Increasing family care responsibilities are positively associated with nervousness, tiredness, and mental disorder. The heterogeneity of the social role in mental wellbeing is explored. Married females whose income was worse off during the lockdown are negatively associated with mental wellbeing. Married females who are employed are found to be less mentally healthy than the self-employed.