The purpose of this online empirical study was to examine the relationship between COVID-19 stress, coping including substance use and behavioural disengagement, and avoidance behaviour early on in the COVID-19 pandemic. Participants, recruited from Amazon’s Mechanical Turk (MTurk, N = 730), were adults from Canada, the United States, Italy, Germany and the United Kingdom. Results of path analysis showed that feeling threatened by the virus, predicted greater COVID-19 anxiety, which was related to greater substance use to cope with the virus, as well as more behavioural disengagement, which predicted less avoidance behaviour. Implications of the results are discussed, particularly the relationship between coping and avoidance behaviour during the pandemic.