Using the COVID-19 Trends and Impacts Survey (CTIS), we examine the effect of COVID-19 vaccinations on (self-reported) feelings of depression and anxiety ("depression"), isolation, and worries about health, among vaccine-accepting survey respondents during February 2021. Assuming no unmeasured confounding, we estimate that vaccinations caused a -4.3 (-4.7, -3.8), -3.4 (-3.9, -2.9), and -4.8 (-5.4, -4.1) percentage point change in these outcomes, respectively. We further argue that these effects provide a lower bound on the mental health burden of the pandemic, implying that the COVID-19 pandemic was responsible for at least a 28.6 (25.3, 31.9) percent increase in feelings of depression and a 20.5 (17.3, 23.6) percent increase in feelings of isolation during February 2021 among vaccine-accepting CTIS survey respondents. We also posit a model where vaccinations affect depression through worries about health and feelings of isolation, and estimate the proportion mediated by each pathway. We find that feelings of social isolation is the stronger mediator, accounting for 41.0 (37.3, 44.7) percent of the total effect, while worries about health accounts for 9.4 (7.6, 11.1) percent of the total effect. We caution that the causal interpretation of these findings rests on strong assumptions. Nevertheless, as the pandemic continues, policymakers should also target interventions aimed at managing the substantial mental health burden associated with the COVID-19 pandemic.