Adverse alcohol consumption is a major public health concern, which might have been further increased by the COVID-19 pandemic. In this study we investigated the impact of a lockdown stage on the association between alcohol consumption, loneliness, and COVID-19-related worries. We used smartphone-based Ecological Momentary Assessment (EMA) conducted during the COVID-19 pandemic in Germany. We recruited 280 participants from the general population, who experienced at least mild loneliness and distress due to the COVID-19 pandemic. We assessed daily alcohol intake, loneliness, and COVID-19-related worries every evening for 7 consecutive days across a no-lockdown [8th August 2020–1st November 2020] and lockdown stage [2nd November 2020–11th March 2021]. We did not find that a lockdown stage, compared to a no-lockdown stage, is associated with increased alcohol consumption. We found that loneliness, previous day drinking, and COVID-19-related worries were not associated with increased, but with decreased alcohol consumption. Moreover, COVID-19-related worries were more negatively associated with alcohol consumption during a no-lockdown stage compared to a lockdown stage. We found that the effect of COVID-19 related worries on alcohol consumption is mediated by loneliness. Our study suggests that heightened levels of worry can decrease alcohol intake. This association can be explained by loneliness: individuals who worry more are lonelier and thus less likely to engage in social drinking. However, during a lockdown stage, the negative association between worrying and drinking diminishes.