The majority of research concerning public health crises and social media platforms has focused on analyzing the accuracy of information within social media posts. The current exploratory study explored social media users’ specific social media behaviors and experiences during the early weeks of the COVID-19 pandemic and whether these behaviors and experiences related to anxiety, depression, and stress. Data were collected March 21–31, 2020 from adults in the United States (N = 564) through snowball sampling on social media sites and Prime Panels. Online surveys included questions regarding social media use during the pandemic and the Depression Anxiety and Stress Scales (DASS). Forward stepwise modeling procedures were used to build three models for anxiety, stress, and depression. Participants who actively engaged with COVID-19 social media content were more likely to experience higher anxiety. Those who had emotional experiences via social media and used social media to connect during the pandemic were susceptible to higher levels of stress and depression. The current study suggests that during the pandemic specific behaviors and experiences via social media were related to anxiety, stress, and depression. Thus, limiting time spent on social media during public health crises may protect the mental health of individuals.