Given the role of human behavior in the spread of disease, it is vital to understand what drives people to engage in or refrain from health-related behaviors during a pandemic. This paper examines factors associated with the adoption of self-protective health behaviors, such as social distancing and mask wearing, at the start of the Covid-19 pandemic in the USA. These behaviors not only reduce an individual’s own risk of infection but also limit the spread of disease to others. Despite these dual benefits, universal adoption of these behaviors is not assured. We focus on the role of socioeconomic differences in explaining behavior, relying on data collected in April 2020 during the early stages of the Covid-19 pandemic. The data include information on income, gender and race along with unique variables relevant to the current pandemic, such as work arrangements and housing quality. We find that higher income is associated with larger changes in self-protective behaviors. These gradients are partially explained by the fact that people with less income are more likely to report circumstances that make adopting self-protective behaviors more difficult, such as an inability to tele-work. Both in the USA and elsewhere, policies that assume universal compliance with self-protective measures—or that otherwise do not account for socioeconomic differences in the costs of doing so—are unlikely to be effective or sustainable.