The present study aimed to compare psychological symptoms and coping strategies in 1480 preschoolers, schoolchildren, and adolescents during home confinement due to COVID-19. We enrolled parents from Italy, Portugal, and Spain who completed a survey between the second and fourth week of lockdown. The results showed that preschoolers displayed more sleeping difficulties, temper tantrums, and dependency while adolescents' reactions were more related to COVID-19 worries and uncertainty. Schoolchildren showed more difficulty in concentrating. Adolescent girls showed higher anxiety levels than schoolchildren boys. Schoolchildren relied more on emotion-oriented strategies, which were linked to increased internalizing and externalizing symptoms in all ages. Task-oriented strategies, regardless of the child's age, work best to cope with stress. Our findings provide information for professionals and parents about children's most common and adaptive coping strategies according to age. Furthermore, they contribute to the early detection of long-term psychological maladjustment in children.