This study examined parents’ (N = 10,141, 64% women) reports of their and their childrens’ depression, anxiety, and stress in Brazil, Mexico, Colombia and Argentina. The data come from the COVID-19 Family Life Study (Ben Brik, 2020) and cohort recruited between April and December 2020. Participants completed online surveys that included the DASS-21 and the Revised Children’s Manifest Anxiety Scale. Our findings indicate that socio-economically disadvantaged families fared worse in mental health during the early phases of the COVID-19 pandemic compared with families with more social and economic resources. Mothers reported higher anxiety, depression, and stress compared with fathers. Parents of adolescents and adolescents fared worse than did families with younger children. Parental physical activity was associated with better parent and child mental health of anxiety symptoms. We discuss the need to address the adverse impacts of the COVID-19 pandemic on mental health in families in Latin America via coordinated mental health and psychosocial support services that are integrated into the pandemic response currently and after the pandemic subsides.