The coronavirus disease 2019 (COVID-19) has adversely influenced human physical and mental health, including emotional disorders and addictions. This study examined substance and Internet use behavior and their associations with anxiety and depression during the COVID-19 pandemic. An online self-report questionnaire was administered to 2196 Chinese adults between February 17 and 29, 2020. The questionnaire contained the seven-item Generalized Anxiety Disorder Scale (GAD-7) and Patient Health Questionnaire (PHQ-9), questions on demographic information, and items about substance and Internet use characteristics. Our results revealed that males consumed less alcohol (p < 0.001) and areca-nut (p = 0.012) during the pandemic than before the pandemic. Age, gender, education status, and occupation significantly differed among increased substance users, regular substance users, and nonsubstance users. Time spent on the Internet was significantly longer during the pandemic (p < 0.001) and 72% of participants reported increased dependence on the Internet. Compared to regular Internet users, increased users were more likely to be younger and female. Multiple logistic regression analysis revealed that age <33 years (OR = 2.034, p < 0.001), increased substance use (OR = 3.439, p < 0.001), and increased Internet use (OR = 1.914, p < 0.001) were significantly associated with depression. Moreover, anxiety was significantly related to female gender (OR = 2.065, p < 0.001), “unmarried” status (OR = 1.480, p = 0.017), nonstudents (OR = 1.946–3.030, p = 0.001), and increased substance use (OR = 4.291, p < 0.001). Although there was a significant decrease in social substance use during the pandemic, more attention should be paid to increased Internet use. Increased Internet use was significantly associated with both anxiety and depression, and increased substance use was related to depression. Professional support should be provided to vulnerable individuals to prevent addiction.