The COVID-19 pandemic and policy measures enacted to contain the spread of the coronavirus have had nationwide psychological effects. This study aimed to assess the impact of the first 15 months of the COVID-19 pandemic on the level of anxiety (GAD-7 scale) and depression (PHQ-9 scale) of the Belgian adult population. A longitudinal study was conducted from April 2020 to June 2021, with 1838 respondents participating in 6 online surveys. Linear mixed models were used to model the associations between the predictor variables and the mental health outcomes. Results showed that the prevalence of symptoms of anxiety and depression was higher in times of stricter policy measures. Furthermore, after the initial stress from the outbreak, coping and adjustment were observed in participants, as symptoms of anxiety and depression decreased during times of lower policy restrictions to almost the same level as in pre-COVID times (2018). Though time trends were similar for all population subgroups, higher levels of both anxiety and depression were generally found among women, young people, people with poor social support, extraverts, people having pre-existing psychological problems, and people who were infected/exposed to the COVID-19 virus. Therefore, investment in mental health treatment programs and supports, especially for those risk groups, is crucial.