Importance: An immediate research priority is to investigate and monitor the psychological well-being among high-risk groups during the coronavirus disease 2019 (COVID-19) pandemic. Objective: To examine levels of severity of depressive symptoms over time among individuals with high risk in the UK during the COVID-19 pandemic. Design, Setting, and Participants: This cohort study is part of an ongoing large panel study of adults aged 18 years and older residing in the UK, the COVID-19 Social Study, established on March 21, 2020. Data analysis was conducted in May 2020. Exposures: Sociodemographic risk factors included belonging to the Black, Asian, and minority racial/ethnic communities, low socioeconomic position (SEP), and essential worker roles (eg, workers in health and social care, education, childcare, or key public services). Health-related and psychosocial risk factors included preexisting physical and mental health conditions, experience of psychological or physical abuse, and low social support. Main Outcomes and Measures: Depressive symptoms were measured on 7 occasions from March 21 to April 2, 2020, using the 9-item Patient Health Questionnaire (PHQ-9). Group-based depressive symptom trajectories were derived using latent growth mixture modeling. Results: The analytical sample comprised 51 417 adults aged 18 years and older (mean [SD] age, 48.8 [16.8] years; 26 276 [51.1%] women; 6145 members [12.0%] of Black, Asian, and minority racial/ethnic communities). Among these, 17 143 participants (33.3%) were in the lowest SEP quartile, and 11 342 participants (22.1%) were classified as essential workers. Three levels of severity of depressive symptoms were identified: low (30 850 participants [60.0%]), moderate (14 911 participants [29.0%]), and severe (5656 participants [11.0%]). After adjusting for covariates, experiences of physical or psychological abuse (odds ratio [OR], 13.16; 95% CI, 12.95-13.37; P < .001), preexisting mental health conditions (OR, 12.99; 95% CI, 12.87-13.11; P < .001), preexisting physical health conditions (OR, 3.41; 95% CI, 3.29-3.54; P < .001), low social support (OR, 12.72; 95% CI, 12.57-12.86; P < .001), and low SEP (OR, 5.22; 95% CI, 5.08-5.36; P < .001) were significantly associated with severe depressive symptoms. No significant association was found for race/ethnicity (OR, 1.07; 95% CI, 0.85-1.28; P = .56). Participants with essential worker roles were less likely to experience severe depressive symptoms (OR, 0.66; 95% CI, 0.53-0.80; P < .001). Similar patterns of associations were found for the group of participants with moderate depressive symptoms (abuse: OR, 5.34; 95% CI, 5.15-5.54; P < .001; mental health condition: OR, 4.24; 95% CI, 4.24-4.24; P < .001; physical health condition: OR, 1.89; 95% CI, 1.80-1.98; P < .001; low social support: OR, 4.71; 95% CI, 4.60-4.82; P < .001; low SEP: OR, 1.97; 95% CI, 1.87-2.08; P < .001). Conclusions and Relevance: In this cohort study of UK adults participating in the COVID-19 Social Study, people with psychosocial and health-related risk factors, as well as those with low SEP, were at the most risk of experiencing moderate or severe depressive symptoms during the COVID-19 pandemic.