Using 44 sweeps of the US Census Household Pulse Survey data for the period April 2020 to April 22 we track the evolution of the mental health of just over three million Americans during the COVID-19 pandemic. We find anxiety, depression and worry had two major peaks in 2020 but improved in 2021 and 2022. We show that a variable we construct based on daily inflows of COVID cases by county, aggregated up to state, is positively associated with worse mental health, having conditioned on state fixed effects and seasonality in mental health. However, the size of the effect declines in 2021 and 2022 as vaccination rates rise. For women and college educated men having a vaccine improved mental health. However, being vaccinated worsens mental health among less educated men.