Background: The coronavirus disease 2019 (COVID-19) pandemic has impacted the lives of people globally, and the significant mental health consequences of this pandemic are beginning to be documented. In addition to sociodemographic and COVID-19 specific factors, psychological risk and protective mechanisms likely influence individual differences in mental health symptoms in the context of the COVID-19 pandemic. We examined associations between a broad set of risk and protective factors with symptoms of depression, anxiety, alcohol problems, and eating pathology, and investigated interactions between objective stress due to COVID-19 and risk/protective variables in predicting psychopathology. Methods: Participants were 877 adults (73.7% female) recruited via internet sources from around the globe, but primarily residing in North America (87.4%). Results: Structural equation modelling revealed that certain risk and protective factors (e.g., loneliness, latent protective factor, mindfulness) were broadly related to psychopathology, whereas others showed unique relations with specific forms of psychopathology (e.g., greater repetitive thinking and anxiety; low meaning and purpose and depression). COVID-19 objective stress interacted with risk factors, but not protective factors, to predict greater anxiety symptoms, but not other forms of psychopathology. Limitations: This is a cross-sectional study of non-randomly recruited participants who reported high levels of income and education. Rates of problematic alcohol use were low. Conclusions: Findings contribute to our understanding of psychological mechanisms underlying individual differences in psychopathology in the context of a global stressor. Strategies that reduce loneliness and increase mindfulness will likely impact the greatest number of mental health symptoms.