The novel coronavirus has not only brought along disruptions to daily socio-economic activities, but sickness and deaths due to its high contagion. With no widely acceptable pharmaceutical cure, the best form of prevention may be precautionary measures which will guide against infections and curb the spread of the disease. This study explored the relationship between COVID-19 knowledge, risk perception, and precautionary behavior among Nigerians. The study also sought to determine whether this relationship differed for men and women. A web-based cross-sectional design approach was used to recruit 1,554 participants (mean age = 27.43, SD = 9.75; 42.7% females) from all geopolitical zones in Nigeria, through social media platforms using a snowball sampling technique. Participants responded to web-based survey forms comprising demographic questions and adapted versions of the Ebola knowledge scale, SARS risk perception scale, and precautionary behavior scale. Moderated mediation analysis of the data showed that risk perception mediated the association between COVID-19 knowledge and precautionary behavior and this indirect effect was in turn moderated by gender. Results indicate that having adequate knowledge of COVID-19 was linked to higher involvement in precautionary behavior through risk perception for females but not for males. It was also noted that awareness campaigns and psychological intervention strategies on COVID-19 related activities may be particularly important for males more than females. Drawing from the health belief model, we recommend that COVID-19 awareness campaigns should target raising more awareness of the risks associated with the infection to make individuals engage more in precautionary behaviors.