The current pandemic wave of COVID-19 has resulted in significant uncertainty for the general public. Mental health and examining factors that may influence distress have been outlined as key research priorities to inform interventions. This research sought to examine whether intolerance of uncertainty and coping responses influence the degree of distress experienced by the U.K. general public during the COVID-19 pandemic. Using a cross-sectional online questionnaire design, participants were recruited (N = 842) using snowball sampling over a 10-day period in the early "lockdown" phase of the pandemic. Around a quarter of participants demonstrated significantly elevated anxiety and depression, with 14.8% reaching clinical cutoff for health anxiety. A one-way multivariate analysis of variance indicated those in "vulnerable" groups were significantly more anxious (p < .001), and also more anxious in relation to their health (p < .001). Mediation modeling demonstrated maladaptive coping responses partially mediated the predictive relationship between intolerance of uncertainty and psychological distress. Mental health difficulties have become significantly raised during the first wave of the COVID-19 pandemic in the United Kingdom, particularly for the vulnerable. Findings support emerging research suggesting the general public is struggling with uncertainty, more so than normal. Vulnerable groups are more anxious about their health, but not more intolerant of uncertainty than the nonvulnerable. Finally, this study indicated two modifiable factors that could act as treatment targets when adapting interventions for mental health during the COVID-19 global health crisis. (PsycInfo Database Record (c) 2021 APA, all rights reserved).