Since the beginning of the COVID-19 pandemic, evidence shows the negative psychological impact of lockdown measures in the general population. It is also important to identify predictors of psychological distress in vulnerable people, particularly patients with history of depressive episodes (the most prevalent psychiatric disorder), in order to adapt mental health strategies for future lockdown measures. This study aim was to (1) compare in 69 healthy controls (HC) and 346 patients with a major depressive episode in the two previous years (PP) self-reported psychological symptoms (depression, anxiety, insomnia, suicidal ideation, traumatic stress, anger) and living conditions during the first national French lockdown, and (2) identify predictors of significant psychological distress in PP. The levels of psychological symptoms were very low in HC compared with PP, independently of the living conditions. Half of PP had no psychiatric contact during the lockdown. Loneliness and boredom were independent predictors of depression, anxiety and insomnia, whereas daily physical activity was a protective factor. Virtual contacts protected against suicidal ideation. Our results highlight the need of specific strategies to target loneliness and boredom and to improve care access, including telepsychiatry. Longitudinal studies must investigate the COVID-19 pandemic psychological impact in clinical samples.