Many studies have documented an adverse impact of the pandemic on women´s mental health. This cross-sectional study aims to explore associations between women's perceived impact of lockdowns and curfews on their mental health and their residential location, along with other contextual and individual factors. Using data from the Flash Eurobarometer 2712 "Women in times of COVID-19", conducted between January 25 and February 3, 2022, across the 27 Member States of the European Union (n = 23,671), this study applied bivariate tests and stratified models based on respondent location (rural areas, small or medium-sized towns and urban areas). The exploration sought predictors influencing the perceived mental health impact, encompassing five individual characteristics (age, disability, employment status, educational attainment, and household type), perceptions of violence against women, and country of residence. The dependent variable was assessed subjectively, measured on a scale from 1 (minor negative impact) to 5 (major negative impact). Women living in urban areas generally reported a higher perceived negative impact on mental health compared to women in rural areas or in small/medium-sized towns. Age and disability were significantly linked to perceiving a negative impact on mental health. Similar adjusted odds ratios for age were observed across rural areas (aOR 0.97, 95% CI = 0.97-0.98), small or medium-sized towns (aOR 0.98, 95% CI = 0.97-0.98), and urban areas (aOR 0.97, 95% CI = 0.97-0.98). In terms of disability, the odds were higher in rural areas (aOR 1.44, 95% CI = 1.20-1.73) than in urban ones (aOR 1.36, 95% CI = 1.15-1.62). Among women residing in urban areas, those in childless couples were less likely to perceive a negative impact on mental health (aOR 0.89, 95% CI = 0.80-0.99) compared to women in couples with children. Respondents perceiving increased violence against women due to COVID-19 were more likely to perceive a negative impact on mental health, with higher odds ratios in rural areas (aOR 1.56, 95% CI = 1.40-1.74) compared to urban areas (aOR 1.29, 95% CI = 1.17-1.41). Differences across countries were also found. The perceived impact of lockdowns and curfews on mental health exhibited variance between urban and rural areas. These disparities were influenced by individual characteristics such as age, disability, or household type, as well as the effects of COVID-19 on violence against women and contextual variables like country of residence.