The COVID-19 pandemic considerably impacted the lives of European citizens. This study aims to provide a nuanced picture of well-being patterns during the pandemic across Europe with a special focus on relevant socio-economic sub-groups. This observational study uses data from a repeated, cross-sectional, representative population survey with nine waves of data from seven European countries from April 2020 to January 2022. The analysis sample contains a total of 25,062 individuals providing 64,303 observations. Well-being is measured using the ICECAP-A, a multi-dimensional instrument for approximating capability well-being. Average levels of ICECAP-A index values and sub-dimension scores were calculated across waves, countries, and relevant sub-groups. In a fixed effects regression framework, associations of capability well-being with COVID-19 incidence, mortality, and the stringency of the imposed lockdown measures were estimated. Denmark, the Netherlands, and France experienced a U-shaped pattern in well-being (lowest point in winter 2020/21), while well-being in the UK, Germany, Portugal, and Italy followed an M-shape, with increases after April 2020, a drop in winter 2020, a recovery in the summer of 2021, and a decline in winter 2021. However, observed average well-being reductions were generally small. The largest declines were found in the well-being dimensions attachment and enjoyment and among individuals with a younger age, a financially unstable situation, and lower health. COVID-19 mortality was consistently negatively associated with capability well-being and its sub-dimensions, while stringency and incidence rate were generally not significantly associated with well-being. Further investigation is needed to understand underlying mechanisms of presented patterns.