COVID-19 implied social distancing, forced behavioural changes, and the economic downturn has been associated with poor mental health and wellbeing. Depression and suicide are the highly predicted psychosocial risks caused by the pandemic crises. Early studies evaluating the effect of COVID-19 on psychiatric health have succeeded in developing screening measures. However, they have been limited in understanding its relations with individual psychological flexibility. An individual's psychological flexibility determines the ability to fight against such adversities on an immediate time scale and the future psychotherapeutic treatment. We conducted an online study to examine the relationship between psychological flexibility and risks to depression and their relationship with COVID-19 peritraumatic distress. We used Multidimensional Psychological Flexibility Inventory (MPFI), Beck's Depression Inventory-II (BDI-II) and COVID-19 Peritraumatic Distress Index (CPDI) to measure the above psychological factors. The results are discussed in light of individual psychological flexibility and its association with BDI-II and CPDI outcomes.