The COVID-19 pandemic has deeply affected mental health. We assessed which of many leisure activities had positive psychological effects, with particular attention to music, which has been reported anecdotally to be important. Questionnaire data from over a thousand individuals primarily from Italy, Spain, and the USA during spring 2020 show that people picked music most often as the best activity to cope with psychological distress. Hours of engagement in music and food-related activities during the pandemic were associated with decreased depression symptoms. The benefits of music were mediated by individual differences in sensitivity to reward, whereas the positive effects of food related activities were related to emotion regulation. Our results demonstrate that music is an important means of improving well being, and suggest that the underlying mechanism is related to reward, consistent with neuroscience findings. Our data have practical significance in pointing to effective strategies to cope with mental health issues.