Background: The COVID-19 pandemic and lockdown might increase anxiety and depressive symptoms, but some behaviors may protect against them. Method: To provide a preliminary evidence of the behaviors associated with decreased symptoms in the current COVID-19 pandemic and lockdown, we conducted a survey of 5545 adult individuals from the Spanish general population, two weeks after an official lockdown was established across the country. Results: Sixty-five percent of the sample reported anxiety or depressive symptoms. Following a healthy/balanced diet and not reading news/updates about COVID-19 very often were the best predictors of lower levels of anxiety symptoms. Following a healthy/balanced diet, following a routine, not reading news/updates about COVID-19 very often, taking the opportunity to pursue hobbies, and staying outdoors or looking outside were the best predictors of lower levels of depressive symptoms. Limitations: Cross-sectional nature and use of sample of convenience. Conclusions: This study suggests that “simple” coping behaviors may protect against anxiety and depressive symptoms during the COVID-19 pandemic and lockdown.