Exposure and sense of threat have been associated with stress symptoms, yet these relationships have not been clarified during the peritraumatic period. We investigated the mediating role of sense of threat in the link between exposure to rocket warning sirens and stress symptoms during wartime, and the effect of severe mental illness (SMI) status and gender on this mediation. A 30-day twice-daily smartphone-based intensive assessment of exposure to sirens, sense of threat, and peritraumatic stress symptoms was performed during the 2014 Israel-Gaza conflict. Participants included 182 highly exposed individuals with or without SMI. Multilevel structural equation modeling analysis was performed, with SMI status and gender as confounders. Exposure affected the level of peritraumatic stress symptoms both directly, b = 1.07, p < .001, 95% CI [0.32, 1.82], and indirectly, b = 0.78, p < .001, 95% CI [0.24, 1.33], through sense of threat. The effect of sense of threat on stress symptoms was larger in the SMI group, b = 0.86, p < .001, 95% CI [0.31, 1.40]. Gender did not have a significant effect. Sense of threat has a key role in symptom development during the peritraumatic timeframe. Intervention and prevention efforts should start early and focus on promoting a sense of safety, particularly with people with SMI.