Research offers evidence that younger generations suffered the most psychologically from the COVID-19 crisis. In this article, we look at the onset of the pandemic to understand the reasons for this increased vulnerability. We use the COVID-19 Multifaceted Threat Scale to explore potential mechanisms underlying generational differences in psychological well-being. In a sample of 994 individuals (+18) obtained in the USA and India, we first assess levels of perceived psychological well-being across the generations. Thus, we measure cross-generational differences in the perceived levels of financial, relational, existential, health and lifestyle threats experienced by respondents seven months after the pandemic broke out. In accordance with earlier findings, the results confirm that people from Generation Z and Generation Y reported worse levels of psychological well-being than older adults. Our results suggest that the heightened existential threat, as reflected in a loss of meaning and feelings of being "trapped", mediate the association between younger generations and worse psychological well-being. No substantial intergenerational differences were found for other threat dimensions. The observed effects were consistent across both national contexts, hence stressing the importance of existential concerns as a mechanism underlying the psychological vulnerability of younger people in the historical contingencies of the COVID-19 pandemic.