The initial public health response to the breakout of COVID-19 required fundamental changes in individual behavior, such as isolation at home or wearing masks. The effectiveness of these policies hinges on generalized public obedience. Yet, people’s level of compliance may depend on their beliefs regarding the pandemic. We use original data from two waves of a survey conducted in March and April 2020 in eight Organisation for Economic Co-operation and Development countries (n = 21,649) to study gender differences in COVID-19−related beliefs and behaviors. We show that women are more likely to perceive COVID-19 as a very serious health problem, to agree with restraining public policy measures, and to comply with them. Gender differences in attitudes and behavior are sizable in all countries. They are accounted for neither by sociodemographic and employment characteristics nor by psychological and behavioral factors. They are only partially mitigated for individuals who cohabit or have direct exposure to the virus. We show that our results are not due to differential social desirability bias. This evidence has important implications for public health policies and communication on COVID-19, which may need to be gender based, and it unveils a domain of gender differences: behavioral changes in response to a new risk.