Concerns regarding contracting COVID-19 and finances may be risks to mental health during the COVID-19 pandemic. Social climate concerns may be another risk, given U.S. protests taking place during this period. We tested the hypothesis that concerns about COVID-19 risk, finances, and social climate would predict clinically significant levels of depression, anxiety, and comorbid depression and anxiety in young adults. 782 U.S. young adults (18–30 years), initially recruited through convenience sampling (social media, email listservs), completed online surveys at Wave 1 (April–August 2020) and Wave 2 (September 2020–March 2021). The primary outcomes included scoring above the cut off for depressive (PHQ-8 ≥ 10) or anxiety symptoms (GAD ≥10). Approximately 41% reported depression and 47% reported anxiety at Wave 1; rates did not differ at Wave 2. Individuals with greater financial concerns were 14% more likely to score high on depressive symptoms; those with COVID-19 risk concerns and social climate concerns were 21% and 54% more likely, respectively, to score high on generalized anxiety. Those with social climate and financial concerns were 52% and 15% more likely, respectively, to score high on comorbid depression and anxiety symptoms. Analyses controlled for Wave 1 symptoms. We provide evidence highlighting the roles of social climate and COVID-19 risk concerns on anxiety, and financial concerns on depression in young adults. Public health campaigns should acknowledge broader societal issues that have taken place as a source of mental health distress, beyond those driven by the pandemic (e.g., isolation and lockdowns).