The COVID-19 pandemic in Brazil is extremely severe, and Brazil has the third-highest number of cases in the world. The goal of the study is to identify the prevalence rates and several predictors of depression and anxiety in Brazil during the initial outbreak of COVID-19. We surveyed 482 adults in 23 Brazilian states online on 9–22 May 2020, and found that 70.3% of the adults (n = 339) had depressive symptoms and 67.2% (n = 320) had anxiety symptoms. The results of multi-class logistic regression models revealed that females, younger adults, and those with fewer children had a higher likelihood of depression and anxiety symptoms; adults who worked as employees were more likely to have anxiety symptoms than those who were self-employed or unemployed; adults who spent more time browsing COVID-19 information online were more likely to have depression and anxiety symptoms. Our results provide preliminary evidence and early warning for psychiatrists and healthcare organizations to better identify and focus on the more vulnerable sub-populations in Brazil during the ongoing COVID-19 pandemic.