In spring 2020, the COVID-19 pandemic forced a rapid shift to distance learning worldwide. Although recent research has focused on the impact that this transition had on students' education and well-being, little has been done in particular on math education and on math anxiety (MA). Since MA is believed to be linked to the teaching methods, it could be hypothesized that the new learning environment affected MA levels. Thus, this study investigated whether students' levels of MA evaluated before and during the first wave of the pandemic changed as a consequence of the distance learning implementation. Moreover, we were interested in investigating whether students' satisfaction with the teaching methods, their effort in math, and their academic achievement were correlated to MA before and during the COVID-19 distance learning. Participants were 117 Italian middle and high school students. No significant differences between pre- and mid-pandemic MA were found when considering the entire sample. Analyzing separately, results indicated that high-MA students reported significantly lower MA levels during distance learning, however no difference was observed for moderate- and low-MA individuals. Furthermore, satisfaction with the teaching methods, effort in math, and math achievement were negatively correlated with MA, both before and during distance education.