Background: The COVID-19 pandemic has imposed several challenges on different populations all around the world, with stress being identified as one of the major challenges. This study aims to investigate the impact of COVID-19-induced stress on the prevalence and severity of anxiety and/or depression, factors that predict the development of anxiety and/or depression, and coping strategies in the Egyptian population during the COVID 19 outbreak. Subjects and Methods: This is an observational cross-sectional online study. The questionnaire of our study included five sections: demographic and clinical data, attitude towards COVID-19, the State-Trait Anxiety Inventory (STAI), Beck Depression Inventory-II (BDI-II), and a specifically prepared and standardized Arabic version of a coping strategies scale. The questionnaire was uploaded on 20 May 2020 at 1 p.m. and closed on 7 July 2020 at 8 a.m. Results: The study questionnaire was completed by 283 Egyptians, with mean age 34.81 ± 11.36 years, of which 17% had been infected with COVID-19. The responses showed that 62.9% had moderate anxiety, whereas 12.4% had severe anxiety. Moreover, 13.8% had moderate depression, and 14.1% had severe depression. Our study demonstrated that age, mental status, and being infected with COVID-19 correlated with depression, whereas only age correlated with anxiety. Interestingly, our data showed that anxiety and depression were negatively correlated with some coping strategies during the COVID-19 pandemic. Conclusions: Pandemics, such as the COVID-19 pandemic, imposes stress on individuals, which leads to the development of anxiety and/or depression. Several factors, which could be population-dependent, may help predict the development of anxiety or depression. We show the factors correlated with depression and anxiety during the COVID-19 pandemic in the Egyptian population. Furthermore, certain personal coping strategies during the COVID-19 pandemic are negatively correlated with anxiety and depression. Therefore, our study sheds light on the importance of studying factors in each population that can lead to pandemic-induced psychological complications and those that can relieve such complications.