The COVID-19 pandemic has led many governments to implement lockdowns. While lockdowns may help to contain the spread of the virus, it is possible that substantial damage to population well-being will result. This study relies on Google Trends data and tests whether the lockdowns implemented in Europe and America led to changes in well-being related topic search terms. Using different methods to evaluate the causal effects of lockdown, we find a substantial increase in the search intensity for boredom in Europe and the US. We also found a significant increase in searches for loneliness, worry and sadness, while searches for stress, suicide and divorce on the contrary fell. Our results suggest that people's mental health may have been severely affected by the lockdown.