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Background There is evidence that the COVID-19 pandemic has negatively affected mental health, but most studies have been conducted in the general population. Aims To identify factors associated with mental health during the COVID-19 pandemic in individuals with pre-existing mental illness. Method Participants (N = 2869, 78% women, ages 18–94 years) from a UK cohort (the National Centre for Mental Health) with a history of mental illness completed a cross-sectional online survey in June to August 2020. Mental health assessments were the GAD-7 (anxiety), PHQ-9 (depression) and WHO-5 (well-being) questionnaires, and a self-report question on whether their mental health had changed during the pandemic. Regressions examined associations between mental health outcomes and hypothesised risk factors. Secondary analyses examined associations between specific mental health diagnoses and mental health. Results A total of 60% of participants reported that mental health had worsened during the pandemic. Younger age, difficulty accessing mental health services, low income, income affected by COVID-19, worry about COVID-19, reduced sleep and increased alcohol/drug use were associated with increased depression and anxiety symptoms and reduced well-being. Feeling socially supported by friends/family/services was associated with better mental health and well-being. Participants with a history of anxiety, depression, post-traumatic stress disorder or eating disorder were more likely to report that mental health had worsened during the pandemic than individuals without a history of these diagnoses. Conclusions We identified factors associated with worse mental health during the COVID-19 pandemic in individuals with pre-existing mental illness, in addition to specific groups potentially at elevated risk of poor mental health during the pandemic.