During the COVID-19 pandemic, the spread of the SARS-CoV-2 virus forced many individuals to confront their mortality and worry about losing loved ones also because social distancing policies often made it impossible to say goodbye. Those not directly experiencing loss were inundated with information about COVID-19-related deaths through various media, leading to vicarious grief. This study aims to explore the long-term effects of direct and vicarious mourning on people's mental health during the COVID-19 pandemic. A sample of 171 adults (65% female) aged 19 to 66 years (mean age = 25.8, SD = 8.57) voluntarily participated in an online survey assessing self-reported psychological measures of complicated grief, anxiety, stress, depression, dispositional neuroticism, and situational anxiety using the Fear of COVID-19 Scale. MANOVA tests revealed that individuals experiencing direct mourning had extremely severe scores for anxiety, stress, and fear of COVID-19, while those without personal losses had moderate scores. Participants reporting high media exposure had higher scores for depression and stress. In line with Terror Management Theory, the study supported that people during the COVID-19 pandemic engaged more in proximal defenses than distal ones, taking health-protective measures, experiencing increased anxiety levels toward SARS-CoV-2 infection, and feeling more distressed. Additionally, vicarious mourning was more strongly associated with depression due to emotional empathy with others. The discussion also addresses the strengths and limitations of the study.