The negative consequences of the COVID-19 pandemic on mental health have been widely reported, but less is known about how the impact of COVID-19 on others in one's social circle shapes these high distress levels. This study examines associations between social COVID-19 exposure-knowing someone who had a COVID-19 infection-and psychological functioning, as well as whether socio-demographic factors moderate these relationships. In June 2020, respondents (N = 343) from clinics in Tampa, Florida, U.S.A. reported whether they had social COVID-19 exposure, anxiety, depression, and stress, and other COVID-19-related concerns. Social COVID-19 exposure was associated with increased anxiety, stress, and concerns about a family member getting sick, and concerns about drinking and substance use. Several associations between exposure and psychological functioning were stronger in women, younger people, and people with lower income, implying these groups face elevated psychological risks due to the pandemic, and should be prioritized in mental health recovery efforts.