Anxiety associated with the COVID-19 pandemic and home confinement has been associated with adverse health behaviors, such as unhealthy eating, smoking, and drinking. However, most studies have been limited by regional sampling, which precludes the examination of behavioral consequences associated with the pandemic at a global level. Further, few studies operationalized pandemic-related stressors to enable the investigation of the impact of different types of stressors on health outcomes. This study examined the association between perceived risk of COVID-19 infection and economic burden of COVID-19 with health-promoting and health-damaging behaviors using data from the PsyCorona Study: an international, longitudinal online study of psychological and behavioral correlates of COVID-19. Analyses utilized data from 7,402 participants from 86 countries across three waves of assessment between May 16 and June 13, 2020. Participants completed self-report measures of COVID-19 infection risk, COVID-19-related economic burden, physical exercise, diet quality, cigarette smoking, sleep quality, and binge drinking. Multilevel structural equation modeling analyses showed that across three time points, perceived economic burden was associated with reduced diet quality and sleep quality, as well as increased smoking. Diet quality and sleep quality were lowest among respondents who perceived high COVID-19 infection risk combined with high economic burden. Neither binge drinking nor exercise were associated with perceived COVID-19 infection risk, economic burden, or their interaction. Findings point to the value of developing interventions to address COVID-related stressors, which have an impact on health behaviors that, in turn, may influence vulnerability to COVID-19 and other health outcomes.