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Poor mental health associated with the COVID-19 pandemic may prompt the utilization of various coping behaviors, including alcohol use. We aimed to investigate the relationships between mental health symptomatology and self-reported changes in alcohol consumption at the onset of the pandemic. Data were from the nationwide COVID-19 Coping Study of US adults aged ≥55 in April and May 2020 (n = 6548). We used population-weighted multivariable-adjusted multi-nomial logistic regression models to estimate odds ratios (ORs) for the associations between mental health (of depression, anxiety, and loneliness, each) and self-reported increased alcohol consumption (vs. no change in consumption). One in ten adults (717/6548, 11%) reported an increase in their alcohol consumption in the past week compared to their usual pre-COVID-19 drinking. Mental health symptomatology was associated with increased drinking since the pandemic onset (depression: OR = 2.66, 95% CI: 1.99–3.56, anxiety: OR = 1.80, 95% CI: 1.34–2.42, loneliness: OR = 2.45, 95% CI: 1.83–3.28). Participants who screened positive for all three mental health outcomes were substantially more likely to report increased alcohol consumption since the onset of the pandemic (OR = 3.87, 95% CI: 2.52–5.96, vs. no mental health outcomes). This study demonstrates potentially harmful changes in alcohol intake among middle-to-older aged adults experiencing mental health symptomatology during the early months of the COVID-19 pandemic.