Efforts to change behaviour are critical in minimizing the spread of highly transmissible pandemics such as COVID-19. However, it is unclear whether individuals are aware of disease risk and alter their behaviour early in the pandemic. We investigated risk perception and self-reported engagement in protective behaviours in 1591 United States-based individuals cross-sectionally and longitudinally over the first week of the pandemic. Subjects demonstrated growing awareness of risk and reported engaging in protective behaviours with increasing frequency but underestimated their risk of infection relative to the average person in the country. Social distancing and hand washing were most strongly predicted by the perceived probability of personally being infected. However, a subgroup of individuals perceived low risk and did not engage in these behaviours. Our results highlight the importance of risk perception in early interventions during large-scale pandemics.