Anorexia nervosa (AN) usually emerges in adolescence when important changes occur in cognitive, emotional, and social processes. Mentalizing, alexithymia, and impulsiveness represent key dimensions for the understanding and interpretation of psychological difficulties in AN. The outbreak of the COVID-19 pandemic has impacted adolescents with AN, showing a worsening of the disease. The main aims of the present paper are (1) to compare adolescents with AN before and during the COVID-19 pandemic and (2) to explore the relationship between mentalizing, alexithymia, impulsiveness, and psychological difficulties related to eating disorders in adolescents with AN during the COVID-19 pandemic. One hundred and ninety-six AN female adolescents (N = 94 before COVID-19; N = 102 during COVID-19) participated in this study. The results show that adolescents with AN during the COVID-19 pandemic had a more impaired functioning profile than the before COVID-19 group. Mentalizing, alexithymia, and impulsiveness had a predictive role on psychological difficulties related to eating disorders in adolescents with AN during the COVID-19 pandemic. In conclusion, our data reveal that the COVID-19 pandemic has likely represented a stress condition that affects mental health; worsening the severity of adolescents with AN clinical condition. Lastly, predictive patterns suggest the existence of a link between difficulties in the ability to face the problems of the present time using effective strategies and the severity of psychological symptoms.