The negative impact of the COVID-19 pandemic suggests that it disproportionately affects vulnerable groups in terms of income and health. One aspect of health that is often less researched but is particularly important in the context of the pandemic is mental health. We explore how the distribution of depressive symptoms (as a proxy for the state of mental health) and the variables associated with depressive symptoms in existing literature have changed relative to the pre-COVID period (2017). We also estimate the relationship between employment transition (between February and April, 2020) and depressive symptoms. While we exercise caution in comparing the depressive symptoms between 2017 and 2020 because of the difference in instruments, under reasonable assumptions our analysis suggests that depressive symptoms has increased significantly in 2020 relative to 2017. Furthermore, our results show that the pandemic has actually narrowed existing inequalities due to some factors that are known to influence depressive symptoms (e.g. gender and income). However, this equality occurs at a higher level relative to 2017. While higher subjective risk perception is associated with increase in depressive symptoms for the affluent, depressive symptoms for the poor is related to financial concerns and social grants. We find that employment shock that occurred between February and April 2020 is associated with increased (decreased) depressive symptoms for those who lost (gained) employment. This relationship also differs by gender with the effect of job loss being stronger for males workers.