Background: Recent studies reported, during the COVID-19 pandemic, increased mental distress among the general population and among women around the childbirth period. COVID-19 pandemic may undermine the vulnerable well-being of parents in Neonatal Intensive Care Units (NICUs). Objective: Our study aimed to explore whether parental stress, depression, and participation in care in an Italian NICU changed significantly over three periods: pre-pandemic (T0), low (T1), and high COVID-19 incidence (T2). Methods: Enrolled parents were assessed with the Parental Stressor Scale in the NICU (PSS:NICU), Edinburgh Postnatal Depression Scale (EPDS), and Index of Parental Participation (IPP). Stress was the study primary outcome. A sample of 108 parents, 34 for each time period, was estimated to be adequate to detect a difference in PSS:NICU stress occurrence level score (SOL) of 1.25 points between time periods. To estimate score differences among the three study periods a non-parametric analysis was performed. Correlation among scores was assessed with Spearman rank coefficient. Results: Overall, 152 parents were included in the study (62 in T0, 56 in T1, and 34 in T2). No significant differences in the median PSS:NICU, EPDS, and IPP scores were observed over the three periods, except for a slight increase in the PSS:NICU parental role sub-score in T2 (T0 3.3 [2.3-4.1] vs. T2 3.9 [3.1-4.3]; p = 0.038). In particular, the question regarding the separation from the infant resulted the most stressful aspect during T2 (T0 4.0 [4.0-5.0] vs. T2 5.0 [4.0-5.0], p = 0.008). The correlation between participation and stress scores (r = 0.19-022), and between participation and depression scores (r = 0.27) were weak, while among depression and stress, a moderate positive correlation was found (r = 0.45-0.48). Conclusions: This study suggests that parental stress and depression may be contained during the COVID-19 pandemic, while participation may be ensured.