Males are more non-adherent to public health measures for containing COVID-19 while females experience more COVID-19-related distress. Personality traits may influence both non-adherence and distress. We examined sensation seeking (SS), anxiety sensitivity (AS), impulsivity, and hopelessness as traits potentially associated with non-adherence and distress in response to COVID-19. Furthermore, we sought to understand if known sex differences in SS (male > female) and AS (female > male) may explain sex differences on these two COVID-19 outcomes. In the first month of the pandemic, 400 adults (mean age = 32.16 years; 45.3%F) completed the Substance Use Risk Profile Scale to assess personality. Degree of adherence to public health recommendations and COVID-19-related distress were also measured. Male sex was indirectly related to poorer adherence to stay-at-home advisories via SS, and female sex was indirectly related to higher COVID-19 distress via AS. Personality-targeted interventions may help reduce non-adherence and COVID-19 distress, potentially reducing sex differences.