The COVID-19 pandemic has created a significant mental health burden on the global population. Studies during the pandemic have shown that risk factors such as intolerance of uncertainty and maladaptive emotion regulation are associated with increased psychopathology. Meanwhile, protective factors such as cognitive control and cognitive flexibility have been shown to protect mental health during the pandemic. However, the potential pathways through which these risk and protective factors function to impact mental health during the pandemic remain unclear. In the present multi-wave study, 304 individuals (18 years or older, 191 Males), residing in the USA during data collection, completed weekly online assessments of validated questionnaires across a period of five weeks (27th March 2020–1st May 2020). Mediation analyses revealed that longitudinal changes in emotion regulation difficulties mediated the effect of increases in intolerance of uncertainty on increases in stress, depression, and anxiety during the COVID-19 pandemic. Further, individual differences in cognitive control and flexibility moderated the relationship between intolerance of uncertainty and emotion regulation difficulties. While intolerance of uncertainty and emotion regulation difficulties emerged as risk factors for mental health, cognitive control and flexibility seems to protect against the negative effects of the pandemic and promote stress resilience. Interventions aimed at enhancing cognitive control and flexibility might promote the protection of mental health in similar global crises in the future.