No: consider the short exact sequence $0 \to \mathbb{Z}/2 \to \mathbb{Z}/2 \times SO(n) \to SO(n) \to 0$. However, these are the only two possibilities.
If $0 \to \mathbb{Z}/2 \to G \to SO(n) \to 0$ is a short exact sequence of Lie groups for $n > 2$, then $G = Spin(n)$ or $G = SO(n) \times \mathbb{Z}/2$.
For consider $\pi_1(SO(n)) = \mathbb{Z}/2$. The short exact sequence of groups gives a long exact sequence in homotopy:
$$\cdots \to \pi_1(\mathbb{Z}/2) \to \pi_1(G) \to \pi_1(SO(n)) \to \pi_0(\mathbb{Z}/2) \to \pi_0(G) \to \pi_0(SO(n)) \to 0.$$
Now $\pi_1(\mathbb{Z}/2) = 0$ and $\pi_1(SO(n)) = \mathbb{Z}/2$.1 We thus have two cases:
1: $\pi_1(G) = 0$. In this case, the exact sequence above gives $\pi_1(SO(n)) \to \pi_0(\mathbb{Z}/2)$ is injective and thus surjective, so $\pi_0(G) = 0$. This shows $G$ is the double cover of $SO(n)$.
2: $\pi_1(G) = \mathbb Z/2$. In this case, there is a splitting of the map $G \to SO(n)$ given by lifting
$$\begin{array}{ccc}
& & G \\
& & \downarrow \\
SO(n) & \rightarrow^{id} & SO(n) \end{array}$$
and sending $1$ to $1$.
This lift $\mu$ is a group homomorphism by uniqueness of lifting: both $x\mapsto \mu(a)\mu(x)$ and $x \mapsto \mu(ax)$ are lifts of left-multiplication by $a$.
Thus, the short exact sequence for $G$ splits.
- See this question for computation of $\pi_1(SO(n))$ for $n >2$.