Confronting COVID-19 pandemic, one & rsquo;s health belief and behavior are essential to mental well-being. Thus conceived, this study applied the Health Belief Model to test the mediating effect of risk perception and coping strategies on the relationship between self-efficacy and mental health problems. Six hundred and eighteen participants aged 17 & ndash;52 (117 males and 501 females) completed our web-based survey from February 7 to April 10, 2020. 12.6 & ndash;15.1% of participants were affected by COVID-19 outbreak in varying degrees. The mediating effects of risk perception and active coping were significant, so was the serial mediating effect of risk perception and passive coping. Individuals with higher general self-efficacy were more likely to have lower risk perception, less passive coping strategies, more active coping strategies, and subsequently had less mental health problems. In conclusion, application of the HBM would help understand how mental health problems happen during an infectious disease epidemic, and the relationships among the HBM constructs need further investigation.