In its early stage, the COVID-19 pandemic and the subsequent public health measures brought several challenges to people in general, with adolescents being one of the most affected groups. To assess the psychological reactions of Portuguese adolescents in that early phase of the COVID-19 pandemic, we conducted an online survey that was filled by a sample of 340 (67.6% female and 32.4% male) middle adolescents (aged 16 and 17 years). Using the Impact Event Scale-Revised and the Depression, Anxiety, and Stress Scale, we found that most participants reported a normal score for depression, anxiety, and stress. However, 47.1% reported some level of pandemic-related traumatic distress, and 25.6% reported high severity values. The girls’ levels of depression, anxiety, stress, and traumatic distress were significantly higher than those of the boys. Regression models showed that gender, number of symptoms experienced in the past days, self-reported health status, and concern with family were significant predictors of these mental health indicators. Our findings underscore the need for future research on the long-term traumatic psychological impact of the COVID-19 pandemic in adolescents, and on the gender differences in this group. This will allow the development of strategies to identify and address at-risk adolescents, since the promotion of mental health and the prevention of pathology are imperative for the health of current and future generations.