The hospitality industry worldwide is suffering under the COVID-19 pandemic. Drawing on the transactional theory of stress and coping, this study aims to investigate when hospitality workers’ COVID-19 risk perception affects their likelihood of having depressive symptoms. Using data from 211 hospitality workers in 76 hotels in Peru, we examined the effects of perceived COVID-19 risk on the likelihood of experiencing depressive symptoms. We posited that this relationship is moderated by the workers’ environment at work (job satisfaction) and at home (the number of children). The results indicate that job satisfaction weakens the link between hospitality workers’ COVID-19 risk perception and their likelihood of depressive symptoms while the number of children exacerbates this link. We discuss the implications of our findings for research on COVID-19 risk perception and offer practical implications for hospitality workers under COVID-19 crisis.