jats:titleAbstract</jats:title> jats:pThe coronavirus outbreak has caused significant disruptions to people’s lives. We exploit variation in lockdown measures across states to document the impact of stay-at-home orders on mental health using real-time survey data in the United States. We find that the lockdown measures lowered mental health by 0.083 standard deviations. This large negative effect is entirely driven by women. As a result of the lockdown measures, the existing gender gap in mental health has increased by 61%. The negative effect on women’s mental health cannot be explained by an increase in financial worries or caring responsibilities.</jats:p>