The unprecedented global spread of COVID-19 has prompted dramatic public-health measures like strict stay-at-home orders and economic shutdowns. Some governments have resisted such measures in the hope that naturally acquired shield immunity could slow the spread of the virus. In the absence of empirical data about the effectiveness of these measures, policymakers must turn to epidemiological modelling to evaluate options for responding to the pandemic. This paper combines compartmental epidemiological models with the concept of behavioural dynamics from evolutionary game theory (EGT). This innovation allows us to model how compliance with an economic lockdown might wane over time, as individuals weigh the risk of infection against the certainty of the economic cost of staying at home. Governments can, however, increase spending on social programmes to mitigate the cost of a shutdown. Numerical analysis of our model suggests that emergency-relief funds spent at the individual level are effective in reducing the duration and overall economic cost of a pandemic. We also find that shield immunity takes hold in a population most easily when a lockdown is enacted with relatively low costs to the individual. Our qualitative analysis of a complex model provides evidence that the effects of shield immunity and economic shutdowns are complementary, such that governments should pursue them in tandem. © 2020 The Authors.