Background Death of a caregiver during childhood can have profound influences on child wellbeing and later trajectories. Globally, child and adolescent mental health is an increasing area of concern with widespread negative implications. These data provide the first comprehensive exploration of the mental health of children experiencing COVID‐19‐associated orphanhood over time, as well as risk and protective factors for their mental health. Methods Data are drawn from a longitudinal cohort study of children and adolescents (9–18 years) residing in South Africa who had experienced COVID‐19‐associated parent or caregiver death ( n  = 211), and a control group (no loss; n  = 210). Mental health data were gathered at two timepoints utilising validated instruments. Data are stratified according to orphanhood status and biological sex. Mixed‐effect regression modelling is undertaken—identifying associations between sociodemographic predictors and mental health status. Results Among those experiencing orphanhood, prevalence of poor mental health increased between baseline and follow‐up, indicating greater mental health burden over time compared to the control group. Females experiencing orphanhood reported a higher prevalence of poor mental health, a finding that persisted over time. Identified probable risk factors for likely mental disorder include older age (OR: 1.15 [95% CI: 1.03–1.28]), food insecurity (OR: 2.91 [95% CI: 1.07–7.92]) and exposure to domestic violence (OR: 1.74 [95% CI: 1.03–2.93]). Increased access to necessities (OR: 0.83 [95% CI: 0.71–0.97]) was identified as a protective factor for mental health. Conclusion This is the first longitudinal investigation of mental health in the context of COVID‐related orphanhood. In measuring both prevalence and intensity of mental health symptoms, we identified multiple factors relating to poor mental health including living in poverty and experiencing early adversities alongside loss. Females experiencing orphanhood were at an increased risk of poor mental health. Tailoring existing mental health provision for children and adolescents within low‐ and middle‐income countries may be required. Policy and programming focusing on poverty and violence alleviation may be of benefit.