Increasing evidence has been pointing towards the existence of a bi-directional interplay between mental health condition and immunity. Data collected during the COVID-19 outbreak suggest that depressive symptoms may impact the production of antibodies against SARS-CoV-2, while a previous infection could affect the immune response and cause neuropsychological disturbances. A prospective observational study was designed to investigate the association between mental health conditions and immune response over time. We analyzed the mental health at baseline and the antibodies before and after immunization with the COVID-19 mRNA vaccine in a cohort of healthcare professionals in southern Switzerland. One-hundred and six subjects were enrolled. Anxiety, distress and depression correlated to each other. There were no correlations between the mentioned variables and the vaccine induced IgG antibodies against the receptor binding domain (RBD) of the spike protein. For those who had a previous COVID-19 infection, the antibodies increased according to the grade of depression. For those who did not, the anti-RBD IgG levels remained similar when comparing presence or absence of depression symptoms. Our results show that previous SARS-CoV-2 natural infection in subjects with mental health conditions enhances the immune response to COVID-19 mRNA vaccination. The correlation between immune response to COVID-19 vaccination, a previous exposure to the virus, and symptoms of mood disorders, makes it necessary to explore the direction of the causality between immune response and depressive symptoms.