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Evidence is accumulating of the negative impact of the COVID‐19 pandemic and related public health measures on mental health. In this emergent field, there has been little research into the role of risk perception on depressive symptoms and the contribution of health‐care resources to model risk perception and mental health. The aim of this paper is to describe the relationship between individual‐level perception of risk and depression, controlling for a set of confounders and for country‐level heterogeneity. A cross‐sectional and observational online survey was conducted using a non‐probability snowball sampling technique. We use data on 11,340 respondents, living in six European countries (Italy, Sweden, United Kingdom, France, Poland, Czech Republic) who completed survey questionnaires during the first months of the pandemic. We used a fixed‐effect approach, which included individual and macro‐level variables. The findings suggest that a high proportion of people suffering from depression and heightened risk perception is positively associated with reporting depressive symptoms, even if this relationship varies significantly between countries. Moreover, the association is moderated by contextual factors including health‐care expenditure as a percentage of Gross Domestic Product, hospital beds for acute care, and number of medical specialists per head of population. Investment in health care offers a concrete means of protecting the mental health of a population living under pandemic restrictions. [ABSTRACT FROM AUTHOR]

Policy PointsPreventive measures such as the national lockdown in Italy have been effective in slowing the spread of COVID‐19. However, they also had psychological and economic impacts on people's lives, which should not be neglected as they may reduce citizens' trust and compliance with future health mandates.Engaging citizens in their own health management and in the collaboration with health care professionals and authorities via the adoption of a collaborative approach to health policy development is fundamental to fostering such measures' effectiveness.Psychosocial analysis of citizens' concerns and emotional reactions to preventive policies is important in order to plan personalized health communication campaigns. Context: Because of the COVID‐19 pandemic, between February 23 and March 8, 2020, some areas of Italy were declared "red zones," with citizens asked to stay home and avoid unnecessary interpersonal contacts. Such measures were then extended, between March 10 and May 4, 2020, to the whole country. However, compliance with such behaviors had an important impact on citizens' personal, psychological, and economic well‐being. This could result in reduced trust in authorities and lowered compliance. Keeping citizens engaged in their own health and in preventive behaviors is thus a key strategy for the success of such measures. This paper presents the results from a study conducted in Italy to monitor levels of people's health engagement, sentiment, trust in authorities, and perception of risk at two different time points. Methods: Two independent samples (n = 968 and n = 1,004), weighted to be representative of the adult Italian population, were recruited in two waves corresponding to crucial moments of the Italian COVID‐19 epidemic: between February 28 and March 4 (beginning of "phase 1," after the first regional lockdowns), and between May 12 and May 18 (beginning of "phase 2," after the national lockdown was partially dismissed). Respondents were asked to complete an online survey with a series of both validated measures and ad hoc items. A series of t‐tests, general linear models, and contingency tables were carried out to assess if and how our measures changed over time in different social groups. Findings: Although sense of self and social responsibility increased between the two waves, and trust toward authorities remained substantially the same, trust in science, consumer sentiment, and health engagement decreased. Our results showed that while both the level of general concern for the emergency and the perceived risk of infection increased between the two waves, in the second wave our participants reported being more concerned for the economic consequences of the pandemic than the health risk. Conclusions: The potentially disruptive psychological impact of lockdown may hamper citizens' compliance with, and hence the effectiveness of, behavioral preventive measures. This suggests that preventive measures should be accompanied by collaborative educational plans aimed at promoting people's health engagement by making citizens feel they are partners in the health preventive endeavor and involved in the development of health policies. [ABSTRACT FROM AUTHOR]