We document a decline in mental well-being after the onset of the Covid-19 pandemic in the UK. This decline is more than twice as large for women as for men. We seek to explain this gender gap by exploring gender differences in: family and caring responsibilities; financial and work situation; social engagement; health situation, and health behaviours, including exercise. We discuss two dimensions of gender differences, the extent to which particular circumstances relate to well-being and the share of individuals facing a given circumstance. Overall, we find that differences in family and caring responsibilities can explain a part of the gender gap, but the bulk is explained by social factors such as loneliness. Other factors such as financial difficulties or age are similarly distributed across genders and thus play little role in explaining the gap.