With the outbreak of COVID-19, online sharing of rumors about the disease is of growing concern worldwide. Drawing on the stimulus–organism–response (S–O-R) framework, this study aims to explore the impacts of peer condition and peer communication on fear of COVID-19, and the impact of fear of COVID-19 on online rumor sharing behavior, by considering the contingency effect of health self-efficacy. Data from 1167 respondents to an online survey in China were adopted to test our research model. The results indicate that peer communication and peer condition induce fear of COVID-19, and fear of COVID-19 results in online rumor sharing. Fear of COVID-19 mediates the effects of peer communication and peer condition on online rumor sharing. Health self-efficacy alleviates the positive effect of peer communication on fear of COVID-19, and the positive effect of fear of COVID-19 on online rumor sharing. This study advances the literature on online rumor sharing and S–O-R, and provides practical implications to social media users and governments.