During the COVID-19 pandemic, numerous schools halted face-to-face teaching and instead resorted to online classes. The impact of online learning on students' academic worries, social relationships, and psychological well-being has received growing attention. Based on a sample of 1095 students aged 14-16 in 12 secondary schools in Hong Kong, structural equation modeling was used to investigate the association between online learning problems, academic worries and performance, social interaction, and psychosocial well-being during the pandemic. The path relationships among variables were compared by gender groups and socio-economic status (SES). Online learning problems were found to be negatively associated with psychosocial well-being through academic worries and social interaction as mediators. The effect of mediation among female students was larger than that of males, whereas the impact of academic worries on both psychosocial well-being and social interaction was stronger and significant only in the low SES group. As the COVID-19 pandemic significantly impacted the learning and well-being of students, attention should be given to gender and SES difference among students.