With stress related to the COVID-19 pandemic, an increase in anxiety and a decrease in overall mental well-being is expected. We investigated the role of emotional competencies (mindfulness and emotional self-efficacy) for psychological responding (mental well-being, general anxiety, and COVID-19 anxiety) during the COVID-19 pandemic. We also examined whether practising mindfulness with inner (meditation-based) and body (yoga-based) exercises supports emotional competencies. Our sample consisted of 364 participants (83.5% females, M = 37.21 years, SD = 12.92 years). Findings showed that emotional competencies are a viable source of support in psychological responses to COVID-19, with Emotional self-efficacy and Accept without judgement playing the strongest roles. Moreover, practising mindfulness was shown to foster several aspects of emotional competencies (i.e., Observe, Describe, and Emotional self-efficacy). There is an ambiguous finding regarding Observe scale that was also found problematic in other studies. The implications for possible interventions are discussed.