Women’s mental health vulnerability, already a concern before the COVID-19 pandemic, has been exacerbated due to social isolation and restrictions on daily activities. This paper aims to follow a cohort of women from pre - to during the pandemic to determine the change in their mental health using the PHQ-2 scale (a mental health screening tool). Additionally, we investigate whether women with depressive symptoms before the pandemic suffered similarly to those without while controlling for pandemic-related factors. Primarily, we use the Coronavirus Rapid Mobile Survey dataset and apply pooled ordered logit and fixed effects ordered logit models. We find that the value of the PHQ-2 scale significantly increased during the first period of the pandemic and then eased over time. Interestingly, the behaviour of the individual scale items differed over time. This result questions the internal reliability of the scale during the pandemic and the importance of analysing the scale items individually. Furthermore, being depressed before the pandemic increases the probability of ‘depressive feelings’ and does not matter for ‘anhedonia’. Other factors increasing the probability of mental health disorders are taking care of children for 13–24 h a day and living with a person who has gone hungry. In contrast, wearing a mask and living in a grant-receiving household decreases the probability. These findings inform future researchers of the unexpected behaviour of scales and policymakers of the vulnerability of women’s mental health during unprecedented times, given their vital role in increasing the well-being of future generations.