The coronavirus outbreak has caused significant disruptions to people’s lives. We document the impact of state-wide stay-at-home orders on mental health using real time survey data in the US. The lockdown measures lowered mental health by 0.085 standard deviations. This large negative effect is entirely driven by women. As a result of the lockdown measures, the existing gender gap in mental health has increased by 66%. The negative effect on women’s mental health cannot be explained by an increase in financial worries or childcare responsibilities.