Background: The present study aims to delineate the role of preexisting depression for changes in common mental health problems during the COVID-19 pandemic. Methods: Using mixed-effects linear regression models, we analyzed data on the course of depressive (Patient Health Questionnaire-2) and anxiety (Generalized Anxiety Disorder-2) symptoms as well as loneliness (three-item UCLA Loneliness Scale) in a subset of the Socio-Economic Panel Study, a large and nationally representative household panel study from Germany. Participants were assessed during the first COVID-19 wave in Germany (March 31 to July 4, 2020; n = 6,694) and prospectively followed up at the peak of the second COVID-19 wave (January 18 to February 15, 2021; n = 6,038).Results: Overall, anxiety and depressive symptoms decreased, whereas loneliness increased from the first to the second COVID-19 wave. However, depressive symptoms increased and the surge in loneliness was steeper in those with versus without clinically relevant depressive symptoms in 2019 or a history of a depressive disorder before the COVID-19 pandemic. Anxiety symptoms remained stable throughout the pandemic in individuals with versus without clinically relevant depressive symptoms in 2019. Pre-pandemic depression was associated with overall higher depressive and anxiety symptoms and loneliness across both assessments. The stringency of lockdown measures did not affect the results.Conclusions: Our findings suggest that individuals with a history of depressive symptoms before the COVID-19 pandemic are at increased risk to experience an escalation of mental health problems due to the COVID-19 pandemic. Therefore, they might particularly profit from targeted prevention and early intervention programs.