The objective of this study was to evaluate factors related to the mental health of Peruvian older adults during the COVID-19 pandemic. The study had a cross-sectional and observational design. A total of 274 older adults in Lima, Peru (Mage = 67.86) filled out a sociodemographic survey, the Coronavirus Anxiety Scale, Mental Health Inventory-5, Patient Health Questionnaire-2 item, and Generalized Anxiety Disorder Scale. A Structural Equation Model (SEM) was estimated to test an a priori model that relates the sociodemographic variables, COVID-19 Anxiety, psychological well-being, anxiety and depression. The model fit indices indicated a good fit to the data. The socio-demographic variables explained 23.8% of the variance of the COVID-19 Anxiety (R2 = .238). Socio-demographic variables explained 50.5% of psychological well-being variance, 52% of anxiety and 46.9% of depression. Also, sex, work; being diagnosed with COVID-19; family member with COVID-19 diagnosis; and time of exposure to COVID-19 information had statistically significant effects psychological well-being, anxiety and depression. In conclusion, some sociodemographic characteristics and COVID-19 anxiety affect the psychological well-being, anxiety and depression. The findings may allow for a better understanding of the mental health of older adults during the COVID-19 pandemic and guide government responses to detect, anticipate and minimize its impact on the mental health of this population.