The new Coronavirus has impacted people’s lifestyles, stress, and well-being. Thus, they need personal positive resources to help them during challenging circumstances. With this longitudinal study on 290 participants, we analyzed the relationship between psychological capital (PsyCap), measured at the beginning of the lockdown period and some indicators of mental health (depression, anxiety, satisfaction with life) measured after 2 months. Moreover, we examined whether stress (at Time 2) mediates the relationships. Following structural equation modeling (SEM) analyses, the results show that PsyCap has a significant positive effect on satisfaction with life and significant negative effects on depression and anxiety. Stress mediated all the relationships.