Background: The outbreak of the COVID-19 pandemic has caused an unprecedented and unexpected change all around the globe. The long-term effects are still ongoing, especially those related to the confinement measures. The study took place during the first COVID-19 lockdown in Italy, where everyone was forced to stay home in order to reduce the spread of the virus. The aim was to investigate the role of perceived emotional intelligence abilities (PEI) in coping with COVID-19-related anxiety. Methods: A cross-sectional study design was employed, and this study used an online survey launched through social networks, inviting adults to participate. The participants anonymously completed a three-scale online measurement of self-reported emotional abilities, coping strategies (approach and avoidance), and state anxiety towards COVID-19. Results: perceived emotional intelligence and approach coping significantly predicted state anxiety. In addition, perceived emotional intelligence mediated the relationship between approach coping and state anxiety. Conclusions: the study highlights the positive role of perceived emotional abilities in dealing with the unprecedented event represented by the COVID-19 pandemic, and in particular, in coping with anxiety related to lockdown and confinement. Their results highlight the importance of fostering emotional intelligence for navigating critical life events.