The COVID-19 pandemic requires rapid public compliance with advice from health authorities. Here, we ask who was most likely to do so during the first wave of the pandemic. We conducted cross-sectional and panel surveys in eight Western democracies between March 19 and May 16 asking 26,508 citizens about their protective behavior relating to COVID-19. Consistent with prior research on epidemics, we find that perceptions of threat and risk factors are crucial and culturally uniform determinants of protective behavior. On this basis, authorities could potentially foster further compliance by appealing to fear of COVID-19, but there may be normative and practical limits to such a strategy. Instead, we find that another major source of compliance are feelings of efficacy. Using individual-level panel data, we find evidence that feelings of efficacy are amendable to change and exert a causal effect on protective behavior. Importantly, the effects of such feelings are especially strong among those who do not feel threatened, creating a path to compliance without fear. In contrast, two other major candidates for facilitating compliance from the social sciences, interpersonal trust and institutional evaluations, have surprisingly little motivational power. To combat future waves of the pandemic, health authorities should thus focus on facilitating efficacy in the public.