Many researchers suggest that the COVID-19 pandemic may have more negative effects on women than men. Accordingly, we hypothesized that women would experience greater COVID-19 related distress and more psychopathological symptoms than men during the first COVID-19 lockdown in Italy. Moreover, we expected emotion regulation strategies (cognitive reappraisal and expressive suppression, as protective and risk factors respectively) to interact with gender in shaping psychological health. We administered an online questionnaire to 1519 participants during the first national COVID-19 lockdown in Italy. As predicted, women reported greater COVID-19 related distress and more psychopathological symptoms than men. Furthermore, women who made greater use of reappraisal reported lower levels of distress and fewer psychopathological symptoms. Suppression was associated with more psychopathological symptoms, but there were no interaction effects with gender. Our findings have implications for policymakers wishing to sustain women's health during stressful situations such as the COVID-19 outbreak and beyond.