Studies on age-related differences in risk perception in a real-world situation, such as the recent COVID-19 outbreak, showed that the risk perception of getting COVID-19 tends to decrease as age increases. This finding raised the question on what factors could explain risk perception in older adults. The present study examined age-related differences in risk perception in the early stages of COVID-19 lockdown, analyzing variables that can explain the differences in perception of risk at different ages. A total of 1,765 adults aged between 18 and 87 years old completed an online survey assessing perceived risk severity and risk vulnerability of getting COVID-19, sociodemographic status, emotional state, experience relating to COVID-19, and physical health status. Results showed that the older the participants, the lower the perceived vulnerability to getting COVID-19, but the higher the perceived severity. Different predictors explain the perception of risk severity and vulnerability at different ages. Overall, self-reported anxiety over the pandemic is a crucial predictor in explaining risk perceptions in all age groups. Theoretical and practical implications of the empirical findings are discussed.