Disruptions of self-regulation are a hallmark of numerous psychiatric disorders. Here, we examine the relationship between transdiagnostic dimensions of psychopathology and changes in self-regulation in the early phase of the COVID-19 pandemic. We used a data-driven approach on a large number of cognitive tasks and self-reported surveys in training datasets. Then, we derived measures of self-regulation and psychiatric functioning in an independent population sample (N = 102) tested both before and after the onset of the COVID-19 pandemic, when the restrictions in place represented a threat to mental health and forced people to flexibly adjust to modifications of daily routines. We found independent relationships between transdiagnostic dimensions of psychopathology and longitudinal alterations in specific domains of self-regulation defined using a diffusion decision model. Compared to the period preceding the onset of the pandemic, a symptom dimension related to anxiety and depression was characterized by a more cautious behavior, indexed by the need to accumulate more evidence before making a decision. Instead, social withdrawal related to faster non-decision processes. Self-reported measures of self-regulation predicted variance in psychiatric symptoms both concurrently and prospectively, revealing the psychological dimensions relevant for separate transdiagnostic dimensions of psychiatry, but tasks did not. Taken together, our results are suggestive of potential cognitive vulnerabilities in the domain of self-regulation in people with underlying psychiatric difficulties in face of real-life stressors. More generally, they also suggest that the study of cognition needs to take into account the dynamic nature of real-world events as well as within-subject variability over time.