This study investigated the difficulties experienced by people suffering from depression in coping with the stressful context of the COVID-19 pandemic and the lockdown. Two large samples of the French population were classified on the basis of their depressive symptoms and completed an online questionnaire on their emotions and their behaviors during the lockdown. Results showed that, compared to participants with no or mild mental health-related symptoms, participants with moderate to severe depressive symptoms suffered from greater psychological effects of the pandemic and the lockdown (fear, anxiety, sadness, sleep quality, loss of daily routine). However, health risk behaviors (smoking, drinking, non-compliance with lockdown and barrier gestures) and perceived vulnerability did not differ between the participant groups, although more severely depressed participants tended to be less respectful of health guidelines. In addition, the most heightened effects on the depressed participants were boredom and the feeling of social isolation, which was not compensated by the search for social affiliation. Supporting people with depression should be a public health priority because they suffer psychologically more than others from the pandemic and the lockdown.