The world has faced huge negative effects from the COVID-19 pandemic between early 2020 and late 2021. Each country has implemented a range of preventive measures to minimize the risk during the COVID-19 pandemic. This study assessed the COVID-19-related fear, risk perception, and preventative behavior during the nationwide lockdown due to COVID-19 in Nepal. In a cross-sectional study, conducted in mid-2021 during the nationwide lockdown in Nepal, a total of 1484 individuals completed measures on fear of COVID-19, COVID-19 risk perception, and preventive behavior. A multiple linear regression analysis was used to identify factors associated with COVID-19 fear. The results revealed significant differences in the fear of COVID-19 in association with the perceived risk of COVID-19 and preventive behaviors. Age, risk perception, preventive behavior, and poor health status were significantly positively related to fear of COVID-19. Perceived risk and preventive behaviors uniquely predicted fear of COVID-19 over and above the effects of socio-demographic variables. Being female and unmarried were the significant factors associated with fear of COVID-19 among study respondents. Higher risk perception, poor health status, and being female were strong factors of increased fear of COVID-19. Targeted interventions are essential to integrate community-level mental health care for COVID-19 resilience.