The COVID-19 pandemic poses a global health threat that has dominated media coverage. However, not much is known about how individuals use media to acquire knowledge about COVID-19 under conditions of perceived threat. To address this, this study investigated how perceived threat affects media use (i.e., media volume and media breadth), and how media use in turn affects perceived and actual knowledge about COVID-19. In a German online survey, N = 952 participants provided information on their perceived threat and their media use to inform themselves about COVID-19. They further indicated how well they are informed about COVID-19 (perceived knowledge) and completed a COVID-19 knowledge test (actual knowledge). The results indicated that individuals who felt more threatened by COVID-19 used media more often to inform themselves (i.e., media volume), but focused on less different media channels (i.e., media breadth). Higher media volume was associated with higher perceived knowledge, but not with higher actual knowledge about COVID-19. Further, exploratory analyses revealed that perceived threat was linked to perceived knowledge, but not to actual knowledge. The association of perceived threat and perceived knowledge was mediated by increased media volume. Finally, a smaller media breadth was linked to higher perceived and actual knowledge.