We analyze data from a survey we administered during the COVID-19 pandemic to investigate the relationship between people’s subjective risk beliefs and their protective behaviors. We report three main findings. First, on average, people substantially overestimate the absolute level of risk associated with economic activity, but have correct signals about their relative risk. Second, people who believe that they face a higher risk of infection are more likely to report avoiding economic activities. Third, government mandates restricting economic behavior attenuate the relationship between subjective risk beliefs and protective behaviors.