Background The COVID-19 pandemic and subsequent suppression measures have had health and social implications for billions of individuals. The aim of this paper is to investigate the risk of psychological distress associated with the COVID-19 pandemic and suppression measures during the early days of the lockdown. We compared the level of psychological distress at the beginning of that period with a pre-pandemic health survey and assessed the psychological effects of exposure to the COVID-19 pandemic and changes in social activity and support. Methods An online survey was distributed to the general population in Belgium 3 days after the beginning of the lockdown. 20,792 respondents participated. The psychological distress of the population was measured using the GHQ-12 scale. Social activities and support were assessed using the Social Participation Measure, the Short Loneliness Scale, and the Oslo Social Support Scale. An index of subjective exposure to the COVID-19 pandemic was constructed, as well as a measure of change in occupational status. Measurements were compared to a representative sample of individuals extracted from the Belgian Health Interview Survey of 2018. Bootstrapping was performed and analyses were reweighted to match the Belgian population in order to control for survey selection bias. Results Half of the respondents reported psychological distress in the early days of the lockdown. A longer period of confinement was associated with higher risk of distress. Women and younger age groups were more at risk than men and older age groups, as were respondents who had been exposed to COVID-19. Changes in occupational status and a decrease in social activity and support also increased the risk of psychological distress. Comparing the results with those of the 2018 Belgian Health Interview shows that the early period of the lockdown corresponded to a 2.3-fold increase in psychological distress (95% CI: 2.16–2.45). Conclusions Psychological distress is associated with the consequences of the COVID-19 pandemic and suppression measures. The association is measurable from the very earliest days of confinement and it affected specific at-risk groups. Authorities should consider ways of limiting the effect of confinement on the mental and social health of the population and developing strategies to mitigate the adverse consequences of suppression measures.