Although the COVID‐19 virus infects those exposed indiscriminately, exposure risk and the severity of its health, social and economic impacts are not being felt equally. Prior to the COVID‐19 pandemic, dramatic differences in health, linked to socioeconomic inequities, already existed between and within countries in the WHO European Region. COVID‐19 and its containment measures have exacerbated these and created new vulnerabilities through three key mechanisms: unequal socioeconomic impacts arising from both (i) the health effects of COVID‐19 and their inequities and (ii) COVID‐19 containment measures; and (iii) the bidirectional effects between the unequal socioeconomic impacts of COVID‐19 and non-COVID‐19-related health inequities. This publication sets out an agenda to address both pre-existing and new vulnerabilities and inequities by first identifying a range of key health-related socioeconomic impacts of COVID‐19 and its containment measures and, secondly, proposing mitigation measures to reduce them. To support countries throughout their recovery and transition from COVID‐19, these measures are aligned with the United Nations socioeconomic response pillars. Building a better future from COVID‐19 requires policies and interventions that reduce inequities, address vulnerabilities first and leave no one behind.