Background: During the COVID-19 pandemic, the fear of being infected was a major concern, resulting in both physical and psychological effects. Despite several studies on fear of COVID-19 in the general population, the effects on healthy volunteers who face COVID-19 on the frontlines have not yet been investigated. Methods: An online survey on specific psychological variables related to COVID-19 was administered to 720 healthy volunteers, and gender differences were investigated. Results: The primary finding was that females showed higher scores in all dimensions assessed. A multiple linear regression conducted on both genders exhibited a similar pattern of predictors, highlighting the pivotal role of negative affect in the male group. Conclusions: The findings suggest that COVID-19 had significant effects on healthy volunteers, especially in the female group. Although the previous literature did not report the crucial role played by the negative affect in the male sample, these results highlight the need to deepen how both genders use different emotional strategies to cope with stressful situations. This study may be useful in the development of specific psychological support and ad hoc training for healthy volunteers.