French population as of March 17, 2020. This epidemic crisis, as well as the living conditions under lockdown, are likely to affect the mental health of the population. Santé publique France has therefore established a behavioral and psychological surveillance system, with one of its objectives being to assess the state of the population’s mental health, identify its determinants, and monitor its evolution. Methods—Samples from the general population are drawn from an access panel of the BVA polling institute. For each wave, an independent sample of 2,000 people aged 18 and older residing in metropolitan France is interviewed online. The data presented here are from the first two waves, which took place from March 23 to 25 and March 30 to April 1, 2020. Results—During the first wave, the prevalence of anxiety was 26.7%, i.e., twice the rate observed in a previous survey of the general population (13.5% in 2017). During the second wave, the prevalence of anxiety had decreased significantly to 21.5%. Higher risks of anxiety were associated with 1) sociodemographic characteristics: being female, being a parent of children aged 16 or younger, and reporting a difficult financial situation; 2) living conditions related to the pandemic: working from home and having a friend or relative who has been ill or has had symptoms of COVID-19; 3/ Knowledge, attitudes, and practices regarding COVID-19: perceiving COVID-19 as a serious disease and feeling vulnerable to it. Conversely, having a good understanding of how the disease spreads, complying with lockdown measures, feeling capable of taking protective measures, and having confidence in government action reduced the risk of anxiety. Moreover, the decrease in anxiety between the two waves was not observed among people who reported a difficult financial situation, those in the least advantaged socio-professional categories, or those living in overcrowded conditions, thus reflecting the widening gap in health inequalities during the lockdown. Conclusions—These initial results helped strengthen and refine the response aimed at promoting mental health and preventing the development of psychological disorders. They also highlight the need to protect and support the most vulnerable households. Finally, they suggest that the lockdown had a protective effect on anxiety and raise questions about a possible upward trend in anxiety levels following the lockdown.