(1) Background: The COVID-19 pandemic forced people from all around the globe to strongly modify their daily routines, putting a significant strain on the social aspects of daily lives. While the first wave of the pandemic was a very challenging time in all countries, it is still uncertain whether various lockdown intensities and infection rates differed regarding their psychosocial impact. This work therefore aimed to investigate (i) the psychosocial effects of home confinement in two European countries that underwent different lockdown intensities: Italy and the Netherlands and (ii) the role of communication technology in relation to feelings of loneliness. (2) Methods: A cross-sectional online survey inquiring about different psychosocial variables and the use of and satisfaction towards communication technology was circulated among the general public during the first wave of the COVID-19 pandemic. In total, 629 participants (66% female, 68% from the Netherlands) answered each question twice, referring to “before” and “during” the pandemic. (3) Results: We found significant negative effects of COVID-19 home confinement on depressive feelings (p < 0.001, %∆ = +54%), loneliness (p < 0.001, %∆ = +37.3%), life satisfaction (p < 0.001, %∆ = −19.8%) and mental wellbeing (p < 0.001, %∆ = −10.6%) which were accompanied with a significantly increased need for psychosocial support (p < 0.001, %∆ = +17.3%). However, the magnitude of psychosocial impact did not significantly differ between residents undergoing a more intense (Italy) versus a less intense (Netherlands) lockdown, although the decrease in social participation was found to be significantly different for both countries (z = −7.714, p < 0.001). Furthermore, our findings demonstrate that the increase in loneliness was associated with the adoption of new digital communication tools (r = 0.21, p < 0.001), and significantly higher for individuals who started to adopt at least one new digital communication tool during confinement than for those who did not (z = −4.252, p < 0.001). (4) Conclusions: This study highlights that, although COVID-19 home confinement significantly impacted psychosocial wellbeing during the first wave of the pandemic, this impact did not differ based on lockdown intensity. Recognizing the increasing adoption of digital communication technology in an attempt to reduce lockdown loneliness, future studies should investigate what is needed from the technology to achieve this effect.