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BackgroundThe COVID-19 pandemic has been declared an international public health emergency, and it may have long-lasting effects on people’s mental health. There is a need to identify effective health behaviors to mitigate the negative mental health impact of COVID-19. ObjectiveThe objectives of this study were to (1) examine the regional differences in mental health and COVID-19–related worry, attention to news, and stress, in light of the state-level prevalence of COVID-19 cases; (2) estimate the associations between mental health and COVID-19–related worry, attention to news, and stress and health behavior engagement (ie, physical activity, mindfulness meditation); and (3) explore the mediating effect of health behavior engagement on the associations between mental health and COVID-19–related worry, attention to news, and stress. MethodsA cross-sectional survey was distributed to a sample of US adult paying subscribers to the Calm app (data were collected from April 22 to June 3, 2020). The survey assessed COVID-19–related worry, attention to news, and stress; health behavior engagement; and mental health (ie, perceived stress, posttraumatic stress disorder, and anxiety and depression). Statistical analyses were performed using R software. Differences in COVID-19–related worry, attention to news, and stress and mental health by location were assessed using t tests and chi-square tests. Logistic and ordinary least squares models were used to regress mental health and health behavior on COVID-19–related worry, attention to news, and stress; moreover, causal mediation analysis was used to estimate the significance of the mediation effects. ResultsThe median age of the respondents (N=8392) was 47 years (SD 13.8). Participants in the Mid-Atlantic region (New Jersey, New York, and Pennsylvania) reported higher levels of stress, more severe depression symptoms, greater worry about COVID-19, paying more attention to COVID-19–related news, and more stress related to social distancing recommendations than participants living in other regions. The association between worry about COVID-19 and perceived stress was significantly mediated by changes in physical activity (P |