This study evaluated severe psychological symptoms in the United Kingdom and Austria after four weeks of lockdown due to COVID-19. Two cross-sectional online surveys were performed with representative population samples according to age, gender, region, and education. Depressive symptoms were measured with the Patient Health Questionnaire (PHQ-9), anxiety symptoms with the Generalized Anxiety Disorder scale (GAD-7), and insomnia symptoms with the Insomnia Severity Index (ISI). The sample size was N = 1005 for Austria (52% women) and N = 1006 (54% women) for the UK. In total, 3.2% of the Austrian sample and 12.1% of the UK sample had severe depressive symptoms (PHQ-9 ≥ 20 points; χ2(1) = 57.24; p < 0.001), 6.0% in Austria vs. 18.9% in the UK had severe anxiety symptoms (GAD-7 ≥ 15 points; χ2(1) = 76.17; p < 0.001), and 2.2% in Austria and 7.3% in the UK had severe insomnia (ISI; ≥22 points; χ2(1) = 28.89; p < 0.001). The prevalence of severe depressive, anxiety or insomnia symptoms was around three times higher in the UK than in Austria.