The COVID-19 pandemic has resulted in increased distress and uncertainty. Understanding the progression of mental health and factors underlying the perpetuation of distress during the pandemic is pivotal in informing interventions and public health messaging. This current study examined longitudinal effects of two cognitive vulnerabilities, looming cognitive style, and intolerance of uncertainty, as well as coping styles on anxiety and depression through online questionnaires at two time points in the pandemic, May 2020 (N = 1520) and August 2020 (N = 545). Depression, but not anxiety, significantly increased across time, which was moderated by coping style. Serial mediation modeling using path analysis demonstrated a significant pathway illustrating increased looming cognitive style in the beginning of the pandemic leads to increased intolerance of uncertainty, avoidant coping, and anxiety later in the pandemic. Results suggest a novel model in conceptualizing anxiety during the pandemic, namely highlighting looming cognitive style as an underlying cognitive vulnerability factor and antecedent of intolerance of uncertainty and illuminating the temporal directionality between looming cognitive style and intolerance of uncertainty. These findings provide important implications regarding intervention and public health messaging with modifiable behavioral and cognitive factors to improve mental health during a pandemic.