The COVID-19 pandemic and the lockdown orders adopted to prevent the spread of the disease had a huge impact on a personal, social, and economic level for the world population. In Europe, Italy was one of the frontrunner countries dealing with an emergency that significantly affected people's lives. Previous research on the psychological impact of the pandemic revealed an increase in anxiety, depression, and feelings of distress; however, these studies were conducted on non-representative samples of the population reached through social media channels, a method that is likely to lead to many forms of statistical and methodological bias. For the first time to our knowledge, we assessed the psychological impact of COVID-19 on 6700 Italian individuals, representative of the Italian population in terms of age, gender, and geographical areas revealing higher scores of depressive symptoms in females, younger adults, people reporting professional uncertainty and lower socio-economic status. A positive correlation was also found for individuals living alone, those who could not leave home for going to work, and people with a case of COVID-19 in the family, whereas the region of residence was not a significant predictor of depressive symptoms. These findings underline the importance of considering the psychological effects of COVID-19 and providing support to individuals seeking mental health care.