Since the World Health Organization (WHO) declared the coronavirus infectious disease 2019 (COVID-19) outbreak a pandemic on 11 March, severe lockdown measures have been adopted by the Italian Government. For over two months of stay-at-home orders, houses became the only place where people slept, ate, worked, practiced sports, and socialized. As consolidated evidence exists on housing as a determinant of health, it is of great interest to explore the impact that COVID-19 response-related lockdown measures have had on mental health and well-being. We conducted a large web-based survey on 8177 students from a university institute in Milan, Northern Italy, one of the regions most heavily hit by the pandemic in Europe. As emerged from our analysis, poor housing is associated with increased risk of depressive symptoms during lockdown. In particular, living in apartments <60 m2 with poor views and scarce indoor quality is associated with, respectively, 1.31 (95% CI: 1046–1637), 1.368 (95% CI: 1166–1605), and 2.253 (95% CI: 1918–2647) times the risk of moderate–severe and severe depressive symptoms. Subjects reporting worsened working performance from home were over four times more likely to also report depression (OR = 4.28, 95% CI: 3713–4924). Housing design strategies should focus on larger and more livable living spaces facing green areas. We argue that a strengthened multi-interdisciplinary approach, involving urban planning, public mental health, environmental health, epidemiology, and sociology, is needed to investigate the effects of the built environment on mental health, so as to inform welfare and housing policies centered on population well-being. © MDPI AG. All rights reserved.