Background: The Coronavirus disease 2019 (COVID-19) crisis and the corresponding first nationwide lockdown from mid-March to 10 May 2020 engendered considerable psychological strain among people in Switzerland. This study analyzes determinants of changes in subjective levels of psychological strain experienced during the lockdown. Methods: An online survey conducted as part of a larger mixed methods study examined the material and emotional aspects of individual reactions to the lockdown from a socio-ecological perspective. Participants (N = 5932) were asked about their personal and employment status, housing features, changes in various activities (e.g., physical activity, watching TV, social media use) and aspects of mental distress and well-being. Results: A substantial share of participants reported to feel depressed (33%) and anxious (43%) more often during the COVID-19 lockdown than before, whereas significantly (p < 0.001) less persons reported a decrease of these negative feelings (depressed 17%; anxious 14%). Women, single people, students and people who lost their jobs or were temporally unemployed due to the lockdown experienced a particularly strong increase of subjective psychological strain. Important residential factors reducing subjective psychological strain were the general comfort of the housing situation and having a private garden or multiple types of outdoor space. Considering leisure activities, the strongest positive psychological effect resulted from increased physical activities, followed by reading and cooking. However, 45% of the participants reported a decreased frequency of physical activity during the lockdown compared to before, whereas significantly less persons (26%) reported a corresponding increase (p < 0.001). Conclusion: Consistent with other studies, the results indicate a substantial reduction of subjective psychological well-being of the population during the first COVID-19 lockdown in Switzerland. The psychological burdens which the participants experienced differ depending on personal characteristics and situational factors. Negative psychological and economic consequences and gender inequalities should accordingly be carefully considered and actively prevented when designing COVID-19 measures. Supportive economic and social, cognitive and behavioral psychological interventions need to be designed and implemented to maintain the well-being of residents during lockdown.