During the early stages of the COVID-19 pandemic, governments issued public health safety measures (e.g., “stay-at-home” ordinances), leaving many people “missing out” on integral social aspects of their own lives. The fear of missing out, popularly shortened as, “FoMO,” is a felt sense of unease one experiences when they perceive they may be missing out on rewarding and/or enjoyable experiences. Among 76 participants (ages M = 69.36, SD = 5.34), who were at risk for hospitalization or death if infected with COVID-19, we found that FoMO was associated with depressive symptoms at Time 1, even when controlling for perceived stress, loneliness, and fear of COVID-19. However, FoMO did not predict future depressive symptoms, about 1 week later, when controlling for Time 1 depressive symptoms. These findings provide further evidence that FoMO is associated with depressive symptoms in a short period of time even when accounting for other powerful social factors such as loneliness. Future research should explore the potential causal relationships between FoMO and depression, especially those that may establish temporal precedence.