Objectives. To describe disparities in depression, anxiety, and problem drinking by sexual orientation, sexual behavior, and gender identity during the COVID-19 pandemic. Methods. Data were collected May 21 to July 15, 2020, from 3245 adults living in 5 major US metropolitan areas (Atlanta, Georgia; Chicago, Illinois; New Orleans, Louisiana; New York, New York; and Los Angeles, California). Participants were characterized as cisgender straight or LGBTQ+ (i.e., lesbian, gay, bisexual, and transgender people, and men who have sex with men, and women who have sex with women not identifying as lesbian, gay, bisexual, or transgender). Results. Cisgender straight participants had the lowest levels of depression, anxiety, and problem drinking compared with all other sexual orientation, sexual behavior, and gender identity groups, and, in general, LGBTQ+ participants were more likely to report that these health problems were "more than usual" during the COVID-19 pandemic. Conclusions. LGBTQ+ communities experienced worse mental health and problem drinking than their cisgender straight counterparts during the COVID-19 pandemic. Future research should assess the impact of the pandemic on health inequities. Policymakers should consider resources to support LGBTQ+ mental health and substance use prevention in COVID-19 recovery efforts.