The disease outbreaks have always had serious psychological repercussions on society. COVID-19 is also no different and has severely impacted the mental health of the populace in Pakistan. Pakistan has implemented various strategies to control the transmission of the disease. It includes lockdowns, self-isolation, and social distancing. This study aimed to investigate the psychological effects of COVID-19 in the context of lockdowns by capturing an immediate response in the first month. In this study, a cross-sectional survey questionnaire was used to collect data from 45 distinct districts across the country. The collected data was analyzed on Structural Equation Modelling (SEM) using the Partial Least Squares (PLS) path model. The results revealed that trust and belief in the government have more contribution to the mental health of society during the lockdown. Father’s education has played a significant role in mitigating the fear of job loss. More satisfied people have better mental health and also highly educated people do not have a fear of job loss. In a nutshell, this paper has practical implications for the government authorities to promote awareness about a healthy lifestyle during the lock-down period. Moreover, society’s trust and belief in government are helping people to mitigate the fear of job loss, resulting in better mental health. Thus, the government must formulate strategies to keep intact the public’s trust and belief in the institution, which will eventually contribute towards their better mental health.