<p>Studies on mental health have shown that the levels of stress and depression of people around the world have been increasing during the COVID-19 pandemic. In Brazil, even with such indicators, it is still unclear how these psychological factors may be related in individual’s well-being. To fill this gap, we sought to analyze the levels of stress and depression of Brazilians, as well as to establish a predictive model between its constructs. Participants were 480 adults from different regions of Brazil, aged between 18 and 65 years (<em>M</em><sub>age</sub> = 28.05, <em>SD</em> = 8.04), mostly female (77.3%). Results showed that stress and depression levels of the participants were moderate. In addition, we find that the stress against COVID-19 was a good predictor of depression, the more people felt stressed about the topic, the more likely they were to have depressive symptoms. Therefore, we discussed these results arguing about the importance of maintaining the mental health of the population.</p>