While existing studies have explored factors that affect knowledge sharing among employees from different perspectives, there are still research gaps regarding whether health belief affects knowledge sharing among employees, specifically against the backdrop of the COVID-19 pandemic, and how such effects work. Thus, the purpose of this study is to determine the effect of bank employees’ health beliefs about COVID-19 on knowledge sharing mediated by their self-efficacy. From the perspective of social cognitive theory and the health belief model, this study investigates whether employees’ perception of susceptibility and severity of COVID-19 affects formal as well as informal knowledge sharing through knowledge sharing self-efficacy. A sample of 407 bank employees (200 women and 207 men) in China was used for the study. The formulated hypotheses were tested using structural equation modeling and bootstrapping. The results showed that employees’ perceived susceptibility to COVID-19 significantly undermines formal and informal knowledge sharing self-efficacy. However, there was no significant difference in the extent of its indirect effects on formal and informal knowledge sharing. Further, employees’ perceived severity of COVID-19 had no effect on knowledge sharing self-efficacy and on formal and informal knowledge sharing, which could have resulted from the COVID-19 outbreak in China.