Subsequent to the restriction measures taken to curb the COVID-19 infection rate, researchers theorized these would have detrimental mental health consequences. This two-wave matched-control study investigates depression and anxiety symptoms during the first 12 months of the pandemic (March 2020–March 2021) in Denmark with data from the I-SHARE and Project SEXUS studies. The I-SHARE study includes 1,302 (Time period 1 only n = 914, Time period 2 only n = 304, both time periods 1 and2 n = 84) Danish participants, and the sex and birth year-matched control participants from the Project SEXUS study comprise 9,980 Danes. During the first year of the pandemic, the study populations' anxiety and depression symptom mean levels did not significantly differ from pre-pandemic matched controls. Younger age, female gender, fewer children in the same household (depression only), lower education level, and not being in a relationship (depression only) were associated with increased anxiety and depression symptom scores. The key COVID-19-related variable linked with significantly higher anxiety and depression symptom scores was COVID-19-related loss of income. Contrary to initial concerns, we did not find a significant effect of the pandemic on anxiety and depression symptom scores. However, the results underscore the importance of structural resources to prevent income loss to safeguard mental health during crises such as a pandemic.