Tackling mental health has become a priority for governments around the world because it influences not only individuals but also the whole society. As people spend a majority of their time (i.e., around 90%) in buildings, it is pivotal to understand the relationship between built environment and mental health, particularly during COVID-19 when people have experienced recurrent local and national lockdowns. Despite the demonstration by previous research that the design of the built environment can affect mental health, it is not clear if the same influence pattern remains when a ‘black swan’ event (e.g., COVID-19) occurs. To this end, we performed logistic regression and hierarchical regression analyses to examine the relationship between built environment and mental health utilising a data sample from the United Kingdom (UK) residents during the COVID-19 lockdown while considering their social demographics. Our results show that compared with depression and anxiety, people were more likely to feel stressed during the lockdown period. Furthermore, general house type, home workspace, and neighbourhood environment and amenity were identified to have significantly contributed to their mental health status. With the ensuing implications, this study represents one of the first to inform policymakers and built environment design professionals of how built environment should be designed to accommodate features that could mitigate mental health problems in any future crisis. As such, it contributes to the body of knowledge of built environment planning by considering mental health during the COVID-19 lockdown.