With many of these matters one can only speculate and trust in the mercy of God.
We know through the story of Lazarus that there existed, even before the New Covenant, an understanding of a place where the unjust would go to suffer and a place where the just would be free from torment. Gentiles seemingly were not excluded from God’s loving mercy, for Job was not an Israelite and yet he was regarded as a very righteous man and was blessed for it.
According to tradition belief, after He died, Christ descended into Hell to preach amongst the spirits. It is believed that Christ released many spirits from this prison, but how many or who exactly is not taught. Where the great prophets and Patriarchs went after their deaths is not always clear. We know that some were taken up into heaven (Enoch and Elijah), and considering the event of the Transfiguration in Christ’s ministry, it would seem, despite the intended symbolism of the Law, that Moses were in heaven, too.
Yes, there were infants who died before the New Covenant. We do not know for sure where God has sent them or the conditions they live in now. We know that Herod murdered the Holy Innocents of Bethlehem. Are we to believe that these Holy Innocents, who were not initiated into the New Covenant, went to Hell? This would seem to contradict the Church’s liturgical view of them more as martyrs than as hell-bound unfortunates.
The Old Covenant was in fact harder to live by because one could not fulfil all that it required. If one failed in one respect to the Law, one failed in all the respects. Eternal life could not be achieved through adherence to the Law. However, the New Covenant, which is Christ himself, is already fulfilled in the work of Christ. True, it may seem more difficult to live by the commandments of Christ, but Christians are given the inestimable assistance of the Holy Spirit (or Holy Ghost) to fulfil all things with the mind of Christ.