BackgroundEarly in the COVID-19 pandemic, concern about widespread waves of depression and suicide emerged worldwide. Clarity on the relationship between mental health symptoms and warning signs of current self-harm or suicide thoughts and behaviors (ShSTB) in Mexican adults could be useful for designing effective public health policies and preventive strategies during health emergencies. ObjectiveThe present study uses a path model to explore the relationship between depressive symptoms, anxiety, and related distress, dysfunction, and somatization with ShSTB warning signs in Mexican adults during the COVID-19 pandemic. The study also describes the relative risks of these mental health variables for men and women, and for those who were seeking psychological care versus those who were not. MethodThe study was conducted with 18,449 Mexicans (M = 33 years, SD = 11.00, range = 18–59), including 12,188 women (66.10 %) and 2706 (14.67 %) who were seeking psychological care. A web-based application included two multidimensional screening scales to evaluate depression, anxiety and somatic symptoms and related distress/dysfunction, as well as past and current ShSTB. Based on the participants' sex, the entire sample was randomly divided into two sub-samples to compare and replicate the Confirmatory Factor Analysis (CFA) results, getting evidence of the multidimensionality of the scales. With the two sub-samples, we also tested the nested models from a structural equation model (SEM) to suggest a relationship between mental health and self-harm/suicide variables. FindingsOur findings suggest that 31 % of participants were at risk for depression, 42.30 % for anxiety, 38.30 % for Marked Distress, Dysfunction and Somatization (MDDS), 33.30 % for at least one ShSTB, and 4.20 % for Previous Self Harm Thoughts and Behaviors (PShTB) during the COVID-19 pandemic. A greater percentage of women and participants seeking psychological care showed high levels of mental health symptoms, PShTB, MDDS, and ShSTB. The path model suggested a direct influence of PShTB and MDDS on ShSTB. Depression symptoms lead to ShSTB in three possible ways: through PShTB, PShTB affecting MDDS, and generalized anxiety affecting MDDS. Discussion and outlookThe pandemic was accompanied by a high prevalence of depression-anxiety, marked distress, dysfunction and somatization and self-harm/suicide thoughts and behaviors. The findings of this study suggest evidence over the well-known association between depression and anxiety, and between depression, previous self-harm thoughts and behaviors, and self-harm/suicide. The evidence suggests to distinguish when participants were suffering from MDDS and anxious depression from those only suffering from depression. The methodological conditions of the study suggest a comprehensive model of ShSTB prevention. Findings also suggest the need to care for Mexicans with depressive symptoms and PShTB as well as those suffering from anxious depression with MDDS to prevent suicide, by implementing effective public health policies and preventive strategies to reduce the mental health gap during health emergencies. LimitationsThis research was a cross-sectional study, suggesting that future analyses should focus on the evaluation of its consistency with confirmed diagnoses of mental health disorders, self-harm/suicide risks, and the effect of remote psychological help to address these problems.