Building on the health belief model (HBM), this research tests, over six months, how the exposure to COVID-related information in the media affects fear, which in turn conditions beliefs about the severity of the virus, susceptibility of getting the virus, and benefits of safety measures. These health beliefs ultimately lead to social distancing and panic buying. As a first contribution, we find that fear is not directly triggered by the objective severity of a crisis, but rather formed over time by the way individuals are exposed to media. Second, we show that fear affects behaviors through the components of the HBM which relate to the risks/benefits of a situation. Last, we find that critical thinking about media content amplifies the adaptive responses of our model (e.g., health beliefs, social distancing) and reduces its maladaptive responses (e.g., panic buying). Interestingly, we note that the beneficial effect of critical thinking about media content disappears as the level of fear increases over time. The implications of these findings for policymakers, media companies, and theory are further discussed.