Intolerance of uncertainty plays a key role in adverse psychological responses to virus pandemics. However, no studies have examined its association with depression in this context. Thus, this study examined two pathway models: IU to depression and IU to anxiety. Cognitive appraisals and emotional and behavioural responses to COVID-19 were mediators. Online psychological measures - intolerance of uncertainty-short form; depression, anxiety and stress scale-21; and four COVID-19 scales, including perceived severity, controllability, knowledge, and emotional and behavioural responses - were administered to 406 Indonesian participants. Indirect pathways were found between IU and emotional and behavioural responses; IU and depression (mediated by cognitive appraisals and emotional and behavioural responses to COVID-19); and then repeated between IU and anxiety. Accordingly, IU represents a risk factor for emotional and behavioural difficulties, depression and anxiety during COVID-19. Psychological interventions should incorporate IU specific modules, especially for perceived severity of pandemics.