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Theories of social cure, sense of community, and social identity suggest that feelings of connectedness affect how we have coped with the COVID‐19 pandemic. Although people can feel connected to a variety of different groups, such as their family, friends, co‐workers, neighbours, nation, or all humanity, previous research has focused on connectedness to only a subset of these groups. To examine the relative importance of connectedness to and contact with specific groups for well‐being, stress, and work‐life balance during the pandemic, we conducted a longitudinal experience sampling study (N = 578) during the first 8 weeks of the Spring 2020 COVID‐19 lockdown in Germany. Feeling connected to family members most strongly predicted psychological well‐being (positively) and perceived stress (negatively) during the lockdown, followed by a sense of connectedness with friends and neighbours. Sense of connectedness to other groups did not predict well‐being, stress, or work‐life balance when controlling for the respective other groups. Hence, it not only matters whether or not a person feels connected to a group but also to which specific group he or she feels connected. [ABSTRACT FROM AUTHOR]