Background: COVID-19 pandemic represented a unique stressful event that affected the physical health and psychological well-being (PWB) of individuals and communities. Monitoring PWB is essential not only to clarify the burden on mental health effects but also to define targeted psychological-supporting measures. This cross-sectional study evaluated the PWB of Italian firefighters during the pandemic. Methods: Firefighters recruited during the pandemic period filled out a self-administered questionnaire, the Psychological General Well-Being Index, during the health surveillance medical examination. This tool is usually used to assess the global PWB and explores six subdomains: anxiety, depressed mood, positive well-being, self-control, general health, and vitality. The influencing roles of age, gender, working activities, COVID-19, and pandemic restrictive measures were also explored. Results: A total of 742 firefighters completed the survey. The aggregate median PWB global score was in the “no distress” range (94.3 ± 10.3), which was higher than that observed in studies conducted using the same tool in the Italian general population during the same pandemic period. Similar findings were observed in the specific subdomains, thus suggesting that the investigated population was in good PWB condition. Interestingly, significantly better outcomes were detected in the younger firefighters. Conclusion Our data showed a satisfactory PWB situation in firefighters that could be related to different professional factors such as work organization and mental and physical training. In particular, our results would suggest the hypothesis that in firefighters, maintaining a minimum/moderate level of physical activity (consisting of even just going to work) might have a profoundly positive impact on psychological health and well-being.