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The COVID-19 pandemic and government intervention such as lockdowns may severely affect people’s mental health. While lockdowns can help to contain the spread of the virus, they may result in substantial damage to population well-being. We use Google Trends data to test whether COVID-19 and the associated lockdowns implemented in Europe and America led to changes in well-being related topic search-terms. Using difference-in-differences and a regression discontinuity design, we find a substantial increase in the search intensity for boredom in Europe and the US. We also found a significant increase in searches for loneliness, worry and sadness, while searches for stress, suicide and divorce on the contrary fell. Our results suggest that people’s mental health may have been severely affected by the pandemic and lockdown.