Recent studies indicate that the COVID‐19 pandemic has had negative implications for the welfare of immigrant communities. However, few studies have examined the behavioural responses used by immigrants to respond to the spread of the virus. This study uses data from the U.S.‐based COVID‐19 in American Communities study to examine whether there are disparities in the use of COVID‐19 prevention behaviours between first‐generation immigrants (i.e., foreign‐born persons), second‐generation immigrants (i.e., U.S.‐born persons with at least one immigrant parent), and third‐generation individuals (i.e., U.S.‐born persons with only U.S.‐born parents). The results indicate that recent first‐generation immigrants and second‐generation immigrants use the behaviours recommended to prevent the spread of COVID‐19 less intensively compared to third‐generation individuals. Furthermore, increased exposure to U.S. society is found to have a non‐linear relationship with the intense use of these behaviours. Results from the analysis of each preventive behaviour show that there are larger gaps between immigrants and U.S. natives in the use of frequent hand washing and comparatively smaller gaps in the practice of avoiding large crowds. However, the most consistent pattern of low use of COVID‐19 prevention behaviours was found among recently arrived first‐generation immigrants.