The COVID-19 pandemic brought with it significant social, economic and health uncertainties. These were proposed to impact young people more compared to adults, leading adolescents to report more mental health problems during the pandemic. The current study examined whether differences in cognitive risk (tolerance of uncertainty) and protective (psychological flexibility) factors accounted for age-related differences in depression and anxiety. These associations were investigated inthe COVID-19 Risks Across the Lifespan (CORAL) cohort (N = 2280, 11-89years). The results showed that adolescents experienced greater intolerance of uncertainty and lower psychological flexibility compared to adults and older adults. Tolerance of uncertainty did not account for age-related differences in depression or anxiety. However, psychological flexibility conferred more protective advantage for anxiety in adults compared to adolescents. The observed age-related differences in risk and protective factors advance our understanding of developmental vulnerabilities to depression and anxiety. Implications for mental health interventions in the context of future pandemics are discussed.