The COVID-19 pandemic has rapidly become a global health crisis, leading people to change their interpersonal behaviours to contain the spread of the virus. Italy has rapidly become the country hit second hardest in the world by the COVID-19 pandemic and the first one in Western countries. To reduce the spread of the COVID-19, people are required to change their interpersonal behaviours, reducing their social interactions in close contacts. The lockdown impact on the economy as well as on social and psychological processes is relevant, we conducted an exploratory study to examine which social factors are associated with the psychological reactions of Italians during the COVID-19 lockdown. Participants ( n = 690) self-reported their social identification on three levels (i.e., Italians, Europeans and humankind), their trust toward social and political actors, and their level of welbeing, interdependent-happiness, and distress. Results showed that the relation between trust and the level of wellbeing and distress was mediated by identification with Italians and humankind, only the identification with humankind mediated the relationship between trust and the level of interdependent-happiness. The identification with Europeans did not emerge as a mediator in such relationships. The implications for dealing with COVID-19 lockdown in Italy are discussed.