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The COVID-19 public health emergency has led to changes in people's attitudes towards minority groups, increasing prejudice and discriminatory behaviors, especially towards migrants. These prejudicial attitudes and discrimination negatively influence migrants’ mental health increasing anxiety and depression and loneliness. However, the sense of belonging can be beneficial in mitigating these mental health issues especially in adverse social situations. Within this context, the aim of the study was to examine to what extent overall social connectedness plays a role in immigrant mental health during the COVID-19 crisis, hypothesizing that reduced sense of belonging to the social world will be part of the pathway from the negative effects of perceived discrimination on mental health during the pandemic. We recruited 104 immigrants from Greece who completed online self-report measures of perceived discrimination, social connectedness, depression, anxiety, paranoia, and loneliness, and conducted mediation analyses to test our predictions. Mediation models indicated that perceived discrimination has a negative impact on sense of belonging, which in turn increases anxiety and paranoia symptoms. Findings suggest that while perceived discrimination has a negative impact on mental health, this effect is less severe if participants remain socially connected. Results are discussed with regard to the need for social inclusion practices.