The COVID-19 global pandemic is an unprecedented health threat for which behavior is critical to prevent spread and personal factors could contribute to decisions for protective action. The purpose of this study was to describe associations of COVID-19 related behaviors capturing a snapshot in time during the height of the first wave of the pandemic. We tested perceptions of likelihood and severity of infection, worry, and their associations with behavior. We further explored relationships by demographic characteristics, and tested main and interactive relationships between these characteristics and beliefs and protective behaviors. Using an online cross-sectional survey, U.S. adults (N = 795) reported their perceptions of likelihood and severity of, and worry about, contracting COVID-19 for self and others, and engagement in protective behaviors. In bivariate tests, all cognitive and affective beliefs were positively associated with hygiene behaviors, but only worry and personal and others’ severity were associated with greater likelihood of social distancing. Controlling for other beliefs and demographic factors, perceived personal severity remained associated with social distancing, and worry with hygiene behaviors. How people think and feel about risk could have implications for communicating information about this novel health threat and motivating action to mitigate its spread.