Objectives The COVID-19 pandemic led to a nationwide lockdown that isolated numerous children and adolescents, significantly affecting their mental well-being. Therefore, this study aimed to assess the challenges faced by children during the pandemic and identify the potential contributing factors. Additionally, given the existing concerns surrounding the mental health of female children and adolescents, our study aimed to investigate the presence of sex-based disparities in children's observed emotional and behavioral difficulties during the COVID-19 lockdown. Methods Participants in this study were parents of children aged 6-17 years. An observational cross-sectional study was conducted through verbal administration of a validated semi-structured questionnaire, the Parent Report Measure, from June 2021 to August 2021 at a nearby community health center. The questionnaire collected socio-demographic details and utilized the Strengths and Difficulties Questionnaire (SDQ), a screening tool to assess children's emotional and behavioral aspects during the six-month lockdown period. The responses were then analyzed using appropriate statistical tools like SPSS statistics, and cumulative SDQ scores were used to categorize participants. Results Out of the total 280 responses analyzed, the prosocial subscale exhibited the highest number of abnormal responses, 73 (26.1%), followed by conduct (42; 15%), hyperactivity (41; 14.6%), and peer (41; 14.6%) subscales. These results indicated that children displayed decreased empathy towards others, restlessness, fidgetiness, reduced attention span, frequent tantrums, and a preference for solitary activities. Furthermore, there was a significant association between abnormal subscale scores and the sex of children. Females showed a considerably higher prevalence of emotional problems (172; 61.5%) than males. Among the behavioral responses, a more significant proportion of females displayed abnormal scores in the conduct subscale (170; 60.7%), while abnormal hyperactivity scores were more frequently observed among males (178; 63.4%). Regarding the peer problems subscale, the proportion of females was slightly higher than males (150; 53.7%) and nearly equal in the prosocial domain. A more significant proportion of females displayed abnormal scores for overall difficulties 144 (51.5%), indicating a notable sex-based disparity. Conclusion Our findings highlight the pandemic's significant impact on many children's psychological well-being. The results emphasize the need for targeted interventions to address the mental health concerns that arose in this population. The observed disparity in emotional and behavioral difficulties among female children is particularly concerning, highlighting the need for gender-sensitive support and care. Various strategies can be helpful, such as virtual support groups, indoor recreational activities, reduced screen time and excessive news consumption, and effective communication with parents. Furthermore, our study also indicates the need to dive deep into such areas of pediatric research to understand and plan timely interventions.