Background Coronavirus 2019 disease (COVID-19) is a highly infectious disease prompting extreme containment measures, including lockdown, travel restrictions, social distancing, and stringent personal hygiene. This study investigates the depression level and coping responses toward the lockdown, referred as the movement control order (MCO) during COVID-19 pandemic in Malaysia and its impact on quality of life. Method This cross-sectional study was conducted from April to May 2020. The outcomes were assessed using the Depression, Anxiety and Stress Scale–21, Coping Orientation to Problems Experienced Inventory, and World Health Organisation Quality of Life–BREF Scale (WHOQOL-BREF) in both English and validated Malay versions. Results Mild-to-severe depression was found in 28.2% (n = 149) of the 528 respondents. Respondents with mild-to-severe depression were significantly younger (33.09 ± 10.08 versus 36.79 ± 12.47 years), without partner (71.8% versus 45.6%), lived in the red zone (85.9% versus 71.0%), and had lower household income as defined in the category of B40 (51.7% versus 39.3%) compared to those without depression (all p p p Conclusion COVID-19 lockdown had adverse mental health effects. Our study highlighted that approximately one in three individual experienced mild-to-severe depression during the nationwide MCO. The varied impact of the pandemic on mental health could be due to different population characteristics and coping strategies used. Identifying those at higher risk to develop depression during MCO for COVID-19 pandemic could help mental healthcare service providers to plan services for those susceptible, thereby mitigating the pandemic’s effect on quality of life.