A systematic review of the literature investigating the effects of the COVID-19 pandemic on psychological and psychosocial factors was completed. Published literature was examined using electronic databases to search psychosocial factors such as beliefs and media persuasion, social support, coping, risk perception, and compliance and social distancing; and psychological factors as anxiety, stress, depression, and other consequences of COVID-19 that impacted mental health among the pandemic. A total of 294 papers referring to the first wave of the COVID-19 pandemic (December 2019–June 2020) were selected for the review. The findings suggested a general deterioration of mental health, delineating a sort of “psychological COVID-19 syndrome”, characterized by increased anxiety, stress, and depression, and decreased well-being and sleep quality. The COVID-19 effect on the psychological dimensions of interest was not the same for everyone. Indeed, some socio-demographic variables exacerbated mental health repercussions that occurred due to the pandemic. In particular, healthcare workers and young women (especially those in postpartum condition) with low income and low levels of education have been shown to be the least resilient to the consequences of the pandemic.