In order to propose better mental health interventions under the pandemic threat, the present study aimed to investigate whether depression and anxiety are associated to Chinese adults’ perceptions of government’s pandemic responses and the personal lifestyle changes imposed by those responses during the COVID-19 pandemic. We used a telephone survey with random sampling and obtained a probability community sample of 616 adults (39.1% men; M = 41.7, SD = 16.3) in Macao, China in April 2020. The prevalence of 8.8% probable depression and 12.0% probable anxiety was observed in this sample. Positive perceptions toward government’s pandemic responses were found to be negatively associated with probable depression and probable anxiety (ORu =.36 and.41, p <.05). Three lifestyle-changing stressors (i.e., increased family conflict, friendship deterioration, and weight gain), were commonly reported (29.9, 27.5, and 43.0% respectively), and displayed positive associations with probable depression (ORu = 1.67 to 1.87, p <.05) and probable anxiety (ORu = 1.54 to 2.10, p <.05). Our findings suggest protective effects of perceived trust and satisfaction regarding government’s pandemic responses against mental distress and the potential mental health threats from three pandemic-specific lifestyle-changing stressors. These findings can inform clinicians and policymakers to better prepare for the mental health impacts of the current and future pandemics.