The coronavirus disease 2019 (COVID-19) pandemic caused a crisis worldwide, due to both its public health impact and socio-economic consequences. Mental health was consistently affected by the pandemic, with the emergence of newly diagnosed psychiatric disorders and the exacerbation of pre-existing ones. Urban areas were particularly affected by the virus spread. In this review, we analyze how the urban environment may influence mental health during the COVID-19 pandemic, considering two factors that profoundly characterize urbanization: air pollution and migration. Air pollution serves as a possibly risk factor for higher viral spread and infection severity in the context of urban areas and it has also been demonstrated to play a role in the development of serious mental illnesses and their relapses. The urban environment also represents a complex social context where minorities such as migrants may live in poor hygienic conditions and lack access to adequate mental health care. A global rethinking of the urban environment is thus required to reduce the impact of these factors on mental health. This should include actions aimed at reducing air pollution and combating climate change, promoting at the same time a more inclusive society in a sustainable development perspective.