Many countries are taking strict quarantine policies to prevent the rapid spread of COVID-19 (Corona Virus Disease 2019) around the world, such as city lockdown. Cities in China and Italy were locked down in the early stage of the pandemic. The present study aims to examine and compare the impact of COVID-19 lockdown on individuals' psychological states in China and Italy. We achieved the aim by (1) sampling Weibo users (geo-location = Wuhan, China) and Twitter users (geo-location = Lombardy, Italy); (2) fetching all the users' published posts two weeks before and after the lockdown in each region (e.g., the lockdown date of Wuhan was 23 January 2020); (3) extracting the psycholinguistic features of these posts using the Simplified Chinese and Italian version of Language Inquiry and Word Count (LIWC) dictionary; and (4) conducting Wilcoxon tests to examine the changes in the psycholinguistic characteristics of the posts before and after the lockdown in Wuhan and Lombardy, respectively. Results showed that individuals focused more on "home", and expressed a higher level of cognitive process after a lockdown in both Wuhan and Lombardy. Meanwhile, the level of stress decreased, and the attention to leisure increased in Lombardy after the lockdown. The attention to group, religion, and emotions became more prevalent in Wuhan after the lockdown. Findings provide decision-makers timely evidence on public reactions and the impacts on psychological states in the COVID-19 context, and have implications for evidence-based mental health interventions in two countries.