COVID-19 lockdowns greatly affected the mental health of populations and collectives. This study compares the mental health and self-perceived health in five countries of Latin America and Spain, during the first wave of COVID 19 lockdown, according to social axes of inequality. This was a cross-sectional study using an online, self-managed survey in Brazil, Chile, Ecuador, Mexico, Peru, and Spain. Self-perceived health (SPH), anxiety (measured through GAD-7) and depression (measured through PHQ-9) were measured along with lockdown, COVID-19, and social variables. The prevalence of poor SPH, anxiety, and depression was calculated. The analyses were stratified by gender (men = M; women = W) and country. The data from 39,006 people were analyzed (W = 71.9%). There was a higher prevalence of poor SPH and bad mental health in women in all countries studied. Peru had the worst SPH results, while Chile and Ecuador had the worst mental health indicators. Spain had the lowest prevalence of poor SPH and mental health. The prevalence of anxiety and depression decreased as age increased. Unemployment, poor working conditions, inadequate housing, and the highest unpaid workload were associated with worse mental health and poor SPH, especially in women. In future policies, worldwide public measures should consider the great social inequalities in health present between and within countries in order to tackle health emergencies while reducing the health breach between populations.