This mixed-methods study aimed to explore mental well-being, circumstances and strategies around managing sexual intimacy and risk during the first UK COVID-19 lockdown (Spring 2020) among men and gender diverse people who have sex with men (MGDPSM), commencing while lockdown was in progress. n = 1429 MGDPSM completed the survey and 14 undertook an in-depth interview. Low mental well-being was reported by 49.6% of the survey participants. Low mental well-being was not predicted by relationship and living circumstance, sexual networking app use, or by casual sexual partners. Low mental well-being was associated with more frequent COVID-19 anxiety (OR = 5.08 CI: 3.74, 6.88 p < 0.001) and with younger age (18−24 years OR = 2.23 CI:1.41−3.53 p = 0.001, 25−34 years OR = 1.45 CI:1.04−2.02 p = 0.029, 35−44 years OR = 1.41 CI:1.00−1.99 p = 0.052). The interview participants understood their lockdown experiences as being relative to normalcy, and those experiencing more dramatic changes faced greater challenges. Living with partners was felt to protect well-being. Many participants reported intimacy interruption challenges. The findings indicate that mental well-being is predicted by age and COVID-19 impact, highlighting opportunities for targeting MGDPSM who are most vulnerable to poor mental health. Services that support MGDPSM during COVID-19 recovery efforts must provide non-judgemental and affirming support.