Background: The COVID-19 pandemic represents a global challenge which may have pervasive effects in several areas of community and individual life. Consequently, the virus could generate fear and anxiety that must be managed in a new and unknown situation, such as that of lockdown, with potential consequences for mental health outcomes. Therefore, with the theoretical guide of the Polyvagal perspective, this research aimed to analyse the mediation of social support, passive aggression, avoidance and dissociation in the relationship between fear and anxiety during the COVID-19 pandemic. Methods: During the national COVID-19 lockdown phase, a sample of 992 Italian participants with a mean age of 35.07 years ( SD = 12.11) completed the Ten Penn State Worry Questionnaire, State-Trait Anxiety Inventory – Form X3, Coping Orientation to Problems Experienced and Forty Item Defense Style Questionnaire, after providing written informed consent. Results: Results showed that fear affected anxiety, both directly and indirectly, highlighting a serial multiple mediation model with two parallel chain of mediators. Social support coping strategy negatively influenced fear and passive aggression, which instead were positively associated. Furthermore, in the second chain, avoidance directly induced fear in the presence of anxiety, opposite of dissociation defense mechanism. Conclusions: Such findings highlighted some possible answers that could be implemented as a consequence of the fear perception during the COVID-19 lockdown, according to the framework of the Polyvagal Theory. These data could provide an important contribution in shedding light on mechanisms put in place during the pandemic, promoting valuable information for a more effective clinical practice.