Research indicates that Intolerance of Uncertainty (IU) is associated with COVID-19 emotional responses, but not necessarily with engaging in COVID-19 preventative behaviors. The current study was designed to further evaluate this discrepancy. Participants (N = 454) completed self-report forms about COVID-19 emotional responses (i.e., fear, worry, sensitivity to symptoms) and COVID-19 behavioral interference/responses (i.e., interference in daily activities, interference due to worry, and engagement in preventative behaviors). IU was positively associated with COVID-19-related emotional responses as well as two of the COVID-19-related behavioral interference/responses (i.e., interference in daily activities and interference due to worry), but negatively predicted engagement in COVID-19 preventative behaviors. Exploratory analyses revealed a significant indirect effect of IU on lower engagement in preventative behaviors through lower belief in the effectiveness of such behaviors. Thus, we further document the role of IU in statistically predicting higher distress but lower levels of adaptive health behaviors. Furthermore, we provide preliminary support for the hypothesis that these relationships may be explained by associations between IU and lower belief in the efficacy of health behaviors. Because some current analyses indicate small effect sizes, future studies should investigate IU alongside other potentially important markers.