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Abstract Anxiety and depression are prevalent mental disorders around the world. The etiology of both diseases is multifactorial, involving biological and psychological issues. The COVID-19 pandemic settled in 2020 and culminated in several changes in the routine of individuals around the world, affecting mental health. People infected with COVID-19 are at greater risk of developing anxiety and depression, and individuals previously affected by these disorders have worsened the condition. In addition, individuals diagnosed with anxiety or depression before being affected by COVID-19 developed the severe illness at higher rates than individuals without mental disorders. This harmful cycle involves several mechanisms, including systemic hyper-inflammation and neuroinflammation. Furthermore, the context of the pandemic and some previous psychosocial factors can aggravate or trigger anxiety and depression. Disorders are also risks for a more severe picture of COVID-19. This review discusses research on a scientific basis, which brings evidence on biopsychosocial factors from COVID-19 and the context of the pandemic involved in anxiety and depression disorders.