Background: The outbreak of the COVID-19 pandemic has caused great panic among the public, with many people suffering from adverse stress reactions. To control the spread of the pandemic, governments in many countries have imposed lockdown policies. In this unique pandemic context, people can obtain information about pandemic dynamics on the internet. However, searching for health-related information on the internet frequently increases the possibility of individuals being troubled by the information that they find, and consequently, experiencing symptoms of cyberchondria. Objective: We aimed to examine the relationships between people’s perceived severity of the COVID-19 pandemic and their depression, anxiety, and stress to explore the role of cyberchondria, which, in these relationship mechanisms, is closely related to using the internet. In addition, we also examined the moderating role of lockdown experiences. Methods: In February 2020, a total of 486 participants were recruited through a web-based platform from areas in China with a large number of infections. We used questionnaires to measure participants’ perceived severity of the COVID-19 pandemic, to measure the severity of their cyberchondria, depression, anxiety, and stress symptoms, and to assess their lockdown experiences. Confirmatory factor analysis, exploratory factor analysis, common method bias, descriptive statistical analysis, and correlation analysis were performed, and moderated mediation models were examined. Results: There was a positive association between perceived severity of the COVID-19 pandemic and depression (β=0.36, t=8.51, P<.001), anxiety (β=0.41, t=9.84, P<.001), and stress (β=0.46, t=11.45, P<.001), which were mediated by cyberchondria (β=0.36, t=8.59, P<.001). The direct effects of perceived severity of the COVID-19 pandemic on anxiety (β=0.07, t=2.01, P=.045) and stress (β=0.09, t=2.75, P=.006) and the indirect effects of cyberchondria on depression (β=0.10, t=2.59, P=.009) and anxiety (β=0.10, t=2.50, P=.01) were moderated by lockdown experience. Conclusions: The higher the perceived severity of the COVID-19 pandemic, the more serious individuals’ symptoms of depression, anxiety, and stress. In addition, the associations were partially mediated by cyberchondria. Individuals with higher perceived severity of the COVID-19 pandemic were more likely to develop cyberchondria, which aggravated individuals’ depression, anxiety, and stress symptoms. Negative lockdown experiences exacerbated the COVID-19 pandemic’s impact on mental health.