We analyze data from a survey we administered during the COVID-19 pandemic to investigate the relationship between people’s subjective beliefs about risks and their private protective behaviors. On average, people substantially overestimate the absolute level of risk associated with economic activity, but have directionally correct signals about their relative risk based on their demographic characteristics. Subjective risk beliefs are predictive of changes in economic activities independent of government policies. Government mandates restricting economic behavior, in turn, attenuate the relationship between subjective risk beliefs and protective behaviors.