During the COVID-19 epidemic in Japan between March and April 2020, Internet surveys were conducted to construct panel data to investigate changes at the individual level regarding preventive behaviors and mental conditions by surveying the same respondents at different times. Specifically, the difference-in-difference (DID) method was used to explore the impact of the COVID-19 state of emergency declared by the government. Key findings were: (1) the declaration led people to stay home, while also generating anger, fear, and anxiety. (2) The effect of the declaration on the promotion of preventive behaviors was larger than the detrimental effect on mental conditions. (3) Overall, the effect on women was larger than that on men.