In March 2020, the Italian Government introduced measures to reduce the spread of COVID-19 infection. Between 8th April and 2nd May 2020 we investigated levels and correlates of sexual activity and depression during COVID-19 lockdown in a sample of hospital workers and their acquaintances by an online survey on SurveyMonkey. Socio-demographic data, International Index of Erectile Function, Female Sexual Function Index, and Beck Depression Inventory were recorded. Multivariable logistic regression analysis (MLRA) was used to test predictors of depressive symptoms and low sexual desire and satisfaction. A statistically significant difference in age, change in working habit, sexual satisfaction, sexual desire, and depressive symptoms was found between males and females. A statistically significant higher proportion of health care workers had low sexual desire (65.3% vs 56.8%, p = 0.042). At MLRA, age, being female, being a health care worker, having children at home, living with the partner, and having low sexual satisfaction were predictors of low level of sexual desire. To our knowledge, this is one of the few studies using validated questionnaires for both males and females to assess sexual well-being and psychometric alterations during COVID quarantine.