Background The ongoing COVID-19 pandemic has brought forth conversations about effective behavior change models for increasing prevention behavior, ranging from wearing masks in public to physical distancing. Among the considered behavior change techniques is the use of fear appeals, through which a negative possible outcome is emphasized to invoke fear, which in turn may promote prevention behaviors to counter the likelihood of the negative outcome. Although fear is hypothesized as health promoting in some theories of health behavior, little research has rigorously assessed the relationship. Objective In our exploratory analyses, we aim to examine the association, including directionality of the association between fear of COVID-19 and COVID-19 prevention behaviors across 2 time points during the early COVID-19 pandemic among a sample of US women. Methods The COPE study, a web-based survey of US women’s COVID-19 experiences, was deployed in May-June 2020 (time 1) with follow-up in December 2020-January 2021 (time 2; n=200). Demographic characteristics as well as fear of COVID-19 and COVID-19 prevention behaviors (eg, staying home except for essential activities, physical distancing in public, and masking in public) were measured. Descriptive and bivariate analyses were used to characterize COVID-19 prevention behaviors and fear of COVID-19 among participants. Cross-lagged panel analysis, a type of structural equation modeling that assesses directionality of temporal associations, was used to understand relationships, if any, between variables of interest. Results We found cross-sectional associations between fear of COVID-19 and staying home and physical distancing, as well as temporal associations between fear at time 1 and time 2 and prevention behaviors at time 1 and time 2. However, results of the cross-lagged panel analysis indicated no cross-lagged temporal relationships between fear of COVID-19 and COVID-19 prevention behaviors 6 months apart. Conclusions Fear of COVID-19 did not appear to predict COVID-19 prevention behaviors 6 months after initial measurements among the sample of women recruited for our study. Future research should rigorously test these associations longitudinally, and alternative methods of public health prevention promotion should be considered.