Background: The COVID-19 pandemic is impacting mental health, but it is not clear how people with different types of mental health problems were differentially impacted as the initial wave of cases hit. Objective: The aim of this study is to leverage natural language processing (NLP) with the goal of characterizing changes in 15 of the world’s largest mental health support groups (eg, r/schizophrenia, r/SuicideWatch, r/Depression) found on the website Reddit, along with 11 non–mental health groups (eg, r/PersonalFinance, r/conspiracy) during the initial stage of the pandemic. Methods: We created and released the Reddit Mental Health Dataset including posts from 826,961 unique users from 2018 to 2020. Using regression, we analyzed trends from 90 text-derived features such as sentiment analysis, personal pronouns, and semantic categories. Using supervised machine learning, we classified posts into their respective support groups and interpreted important features to understand how different problems manifest in language. We applied unsupervised methods such as topic modeling and unsupervised clustering to uncover concerns throughout Reddit before and during the pandemic. Results: We found that the r/HealthAnxiety forum showed spikes in posts about COVID-19 early on in January, approximately 2 months before other support groups started posting about the pandemic. There were many features that significantly increased during COVID-19 for specific groups including the categories “economic stress,” “isolation,” and “home,” while others such as “motion” significantly decreased. We found that support groups related to attention-deficit/hyperactivity disorder, eating disorders, and anxiety showed the most negative semantic change during the pandemic out of all mental health groups. Health anxiety emerged as a general theme across Reddit through independent supervised and unsupervised machine learning analyses. For instance, we provide evidence that the concerns of a diverse set of individuals are converging in this unique moment of history; we discovered that the more users posted about COVID-19, the more linguistically similar (less distant) the mental health support groups became to r/HealthAnxiety (ρ=–0.96, P<.001). Using unsupervised clustering, we found the suicidality and loneliness clusters more than doubled in the number of posts during the pandemic. Specifically, the support groups for borderline personality disorder and posttraumatic stress disorder became significantly associated with the suicidality cluster. Furthermore, clusters surrounding self-harm and entertainment emerged. Conclusions: By using a broad set of NLP techniques and analyzing a baseline of prepandemic posts, we uncovered patterns of how specific mental health problems manifest in language, identified at-risk users, and revealed the distribution of concerns across Reddit, which could help provide better resources to its millions of users. We then demonstrated that textual analysis is sensitive to uncover mental health complaints as they appear in real time, identifying vulnerable groups and alarming themes during COVID-19, and thus may have utility during the ongoing pandemic and other world-changing events such as elections and protests.