Introduction: There are few published empirical data on the effects of COVID‐19 on mental health, and until now, there is no large international study. Material and methods: During the COVID-19 pandemic, an online questionnaire gathered data from 55,589 participants from 40 countries (64.85% females aged 35.80 ± 13.61; 34.05% males aged 34.90±13.29 and 1.10% other aged 31.64±13.15). Distress and probable depression were identified with the use of a previously developed cut-off and algorithm respectively. Statistical analysis: Descriptive statistics were calculated. Chi-square tests, multiple forward stepwise linear regression analyses and Factorial Analysis of Variance (ANOVA) tested relations among variables. Results: Probable depression was detected in 17.80% and distress in 16.71%. A significant percentage reported a deterioration in mental state, family dynamics and everyday lifestyle. Persons with a history of mental disorders had higher rates of current depression (31.82% vs. 13.07%). At least half of participants were accepting (at least to a moderate degree) a non-bizarre conspiracy. The highest Relative Risk (RR) to develop depression was associated with history of Bipolar disorder and self-harm/attempts (RR = 5.88). Suicidality was not increased in persons without a history of any mental disorder. Based on these results a model was developed. Conclusions: The final model revealed multiple vulnerabilities and an interplay leading from simple anxiety to probable depression and suicidality through distress. This could be of practical utility since many of these factors are modifiable. Future research and interventions should specifically focus on them.