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We conducted a large-scale survey covering 58 countries and over 100,000 respondents between late March and early April 2020 to study beliefs and attitudes towards citizens' and governments' responses to the COVID-19 pandemic. Most respondents reacted strongly to the crisis: they report engaging in social distancing and hygiene behaviors, and believe that strong policy measures, such as shop closures and curfews, are necessary. They also believe that their government and their country's citizens are not doing enough and underestimate the degree to which others in their country support strong behavioral and policy responses to the pandemic. The perception of a weak government and public response is associated with higher levels of worries and depression. Using both cross-country panel data and an event-study, we additionally show that strong government reactions correct misperceptions, and reduce worries and depression. Our findings highlight that policy-makers not only need to consider how their decisions affect the spread of COVID-19, but also how such choices influence the mental health of their population.