The aim of this study is to evaluate factors associated with the subjective well-being (SWB) and suspected depression measured with WHO-5 among German adults during different phases of the COVID-19 pandemic. Survey data were analyzed from the COVID-19 Snapshot Monitoring (COSMO) study, which collected data from 972, 1013, and 973 participants in time point 1 (19–20 May 2020), time point 2 (15–16 September 2020), and time point 3 (21–22 December 2020), respectively. Descriptive analyses and logistic regression analyses to identify the factors associated with suspected depression (WHO-5 ≤ 50) were conducted. Data showed that the mean WHO-5 scores in three time points were 56.17, 57.27, and 53.93, respectively. The risk of suspected depression was increased by about 1.5 times for females, 2.5–3 times among 18–24 year-olds compared to ages above 65 years, 1.5 times for singles, 2 times for those with chronic illnesses, and 2–3 times for people living in poverty. The main study findings show that German adult SWB is lower than pre-pandemic reference values. Special focus should be placed on vulnerable groups, such as females, younger persons, and people living in poverty who are most prone to a reduction in SWB and therefore suspected depression.