Due to the COVID‐19 pandemic’s consequences and the state of alarm, literature has shown that people worldwide have experienced severe stressors that have been associated with increased prevalence of emotional distress. In this study, we explored psychological distress (depression, anxiety, and somatization symptoms) using an online survey platform in a sample of 1,781 Spanish adults during the confinement due to COVID‐19, relationships between distress and sleep problems, affect, pain, sleep, emotional regulation, gender, type of housing, history of psychopathology, and living alone during the confinement, and differences depending on demographic and psychological variables. Results showed that between 25% and 39% of the sample referred to clinically significant levels of distress. In addition, women showed higher levels of distress, negative affect, perception of pain, and cognitive reappraisal and lower levels of emotional suppression and sleep quality than men. A history of psychopathology, being younger, living alone or in a flat was associated with higher distress. Finally, the variables most strongly related to distress were negative and positive affect, levels of pain, sleep quality, and emotional suppression. Our results highlight the important role of emotional suppression, cognitive reappraisal, and loneliness and the impact of being a woman and younger in Spain during the COVID‐19 pandemic. Therefore, it would be necessary to provide assessments of distress levels in these population groups and focus psychological preventive and therapeutic online interventions on expressing emotions and preventing loneliness.