Background: Pandemics such as the current COVID-19 pandemic are often associated with heightened fear and significant adjustments in health behaviours. Aim: This study aimed to assess perceived risk, anxiety and protective behaviours of the general public during the early phase of the coronavirus disease (COVID-19) pandemic in Nigeria. Methods: An online cross-sectional study among 1197 respondents aged 18 years and above between 27 April to 16 May 2020. Result: More than half (61.9%) of the respondents had high risk perception towards COVID-19, and high anxiety level was found in 37.2%. Male gender, being a Christian, having more than 12 years of formal education and high risk perception were positively associated with observance of more than one protective measure against COVID-19. The predictors of COVID-19-related anxiety were high risk perception and being a Muslim. Conclusions: This study showed that risk perception has an influence on both anxiety and observance of protective behaviours. Being a novel experience, this research has implications to support current and future responses to a pandemic experience.