  Using the COVID-19 Trends and Impact survey, we find that COVID-19
vaccinations reduced the prevalence of self-reported feelings of depression and
anxiety, isolation, and worries about health among vaccine-accepting
respondents in February 2021 by 3.7, 3.3, and 4.3 percentage points,
respectively, with particularly large reductions among respondents aged 18 and
24 years old. We show that interventions targeting social isolation account for
39.1\% of the total effect of COVID-19 vaccinations on depression, while
interventions targeting worries about health can account for 8.3\%. This
suggests that social isolation is a stronger mediator of the effect of COVID-19
vaccinations on depression than worries about health. We caution that these
causal interpretations rely on strong assumptions.

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