Complicated grief (CG) predicts decreased mental health over time. Furthermore, feeling connected to nature (CN) is positively associated with beneficial mental health outcomes, such as psychological wellbeing and perceived psychological resilience. Thus, we hypothesized that CN moderates the association between general grief or CG and negative mental health for bereaved people. Further, we hypothesized that one’s physical exposure to nature—that is, estimated time spent in nature and greenness (i.e., vegetation) surrounding one’s residential area—might moderate the association between general grief or CG and negative mental health for bereaved people. To test these hypotheses, we sampled 153 participants who experienced the death of a close other by COVID-19 infection. Participants reported CG, general grief, anxiety symptoms, depression symptoms, CN, estimated time spent in nature, and residential area postal code via a single online survey. We estimated greenness surrounding participants’ residential areas using their self-reported 5-digit U.S. postal code. Cross-sectional analyses indicated that, as predicted, CN attenuated the association between CG and depression, but only trended toward moderating the association between CG and anxiety and did not moderate the associations between general grief and depression or anxiety. Other variables related to the experience of nature—the estimated time an individual spends in nature and the greenness surrounding one’s residential area—did not moderate the association between general grief or CG and depression or anxiety. We thus conclude that a sense of feeling connected to nature—not simply spending more time in nature or being surrounded by nature—may serve an important role in the mental health status of people experiencing complicated grief, perhaps because CN replenishes general belonging when someone significant has passed away.