Governments faced with the spread of COVID-19 pandemic are adopting strict and severe mitigation measures to influence people’s behaviors. Public perception of health risk plays a key role in the adoption of these actions, in people’s feelings, and in their daily habits. To support decision makers from international to local levels to face with future sanitary emergencies, this study aims at investigating Italian public perceptions of health risk. To this purpose, a questionnaire was designed and administered within the period of Italian COVID-19 lockdown and quarantine to almost 9000 citizens in Italy and abroad. The obtained results highlight a significative influence that mass media play on both the level of knowledge and the feelings of the respondents. The findings also point out future variations of some perceived behaviors consequent to the COVID-19 outbreak.