This study assesses how the implementation and lifting of non-pharmaceutical policy interventions (NPIs), deployed by most governments, to curb the COVID-19 pandemic, were associated with individuals’ mental well-being (MWB) across 28 European countries. This is done both for the general population and across key-groups. We analyze longitudinal data for 15,147 respondents from three waves of the Eurofound-“Living, Working and COVID-19” survey, covering the period April 2020–March 2021. MWB is measured by the WHO-5 index. Our evidence suggests that restriction on international travel, private gatherings, and contact tracing (workplace closures) were negatively (positively) associated with MWB by about, respectively, −0.63 95% CI: −0.79 to −0.47, −0.24 95% CI: −0.38 to −0.10, and −0.22 95% CI: −0.36 to −0.08 (0.29 95% CI: 0.11 to 0.48) points. These results correspond to −3.9%, −1.5%, and −1.4% (+1.8%) changes compared to pre-pandemic levels. However, these findings mask important group-differences. Women compared to men fared worse under stay-at-home requirements, internal movement restrictions, private gatherings restrictions, public events cancellation, school closures, and workplace closures. Those residing with children below 12, compared to those who do not, fared worse under public events cancellation, school closures and workplace closures. Conversely, those living with children 12–17, compared to those who do not, fared better under internal movement restrictions and public events cancelling. Western-Europeans vis-à-vis Eastern-Europeans fared better under NPIs limiting their mobility and easing their debts, whereas they fared worse under health-related NPIs. This study provides timely evidence of the rise in inequalities during the COVID-19 pandemic and offers strategies for mitigating them. •We examine the association of MWB with the implementation and lifting of 13 NPIs.•Panel data covering 15,147 individuals from 28 European countries is used.•MWB is positively associated to workplace closures.•Negative is the association with contact-tracing and restrictions on international travels and gatherings.•Women and individuals living with young children fared worse under NPIs.