The COVID-19 pandemic led nurses to psychosocial job risks never before experienced, with serious implications for their mental health. This study aims to identify the levels of burnout, anxiety and depression in nurses, comparing them in the pre-pandemic phase and during the beginning of the pandemic. A sociodemographic and professional questionnaire, with the OLBI, DASS, GAD-7 and PHQ-9 were applied to 566 nurses (384 in November 2018 and 182 in April/May 2020). It was found, globally, 60% of nurses with burnout, 17% with severe anxiety and 16% with severe depression. Between 2018 and 2020, the level of burnout decreased but increased exhaustion, and mild anxiety and depression. Positive correlations were found between anxiety, depression and burnout, and exhaustion was explained in 45% by anxiety/depression, varying the mutual explanatory power of the remaining variables according to the year of data collection. The apparent reduction in severe burnout and anxiety/depression levels is explained by the fact that those who were already psychologically ill were not working or did not participate in the study (healthy worker myth) and that the 2020 data correspond to the beginning of the pandemic. However, the increase in mild levels of anxiety/depression is already a warning, and it is crucial to develop mental health prevention/promotion programs at the workplace.