The coronavirus (COVID-19) outbreak has caused significant psychological pressure, with women being more likely than men to have experienced negative impacts. The situation is acute in poor areas in developing countries due to income loss and resulting in food insecurity. This study examines the association between food insecurity and the mental health of women during the COVID-19 pandemic using panel data from two waves of 2402 household surveys first conducted after three weeks of the lockdown in Bangladesh. Food insecurity was measured using the Food Insecurity Experience Scale (FIES) while the Perceived Stress Scale (PSS) was used to assess stress levels. Descriptive statistical analyses including mixed-model linear regression were performed. About 58% of the household became more food insecure between the two waves of surveys, conducted within a span of three to four weeks, while 35% maintained stability. PSS score were found to be significantly associated with increasing food insecurity. PSS score increased by 3·12 points with a negative change in FIES scores (95% CI: 2·65; 3·58, p-value 0·00) while an unchanged FIES score was associated with a 1·39 point increase in PSS score (95: CI: 0·95; 1·84, p-value: 0·00). This indicates deterioration of psychological wellbeing as food insecurity prolonged. This study offers important insight into the mental health of women in a developing country in the context of COVID-19. The results have implications for policies around food security and the overall wellbeing of women in the time of any crisis.