People’s risk perception of COVID-19 is an important predictor for adopting protective behavior. Although risk perceptions, and factors influencing these, may vary between countries, less attention has been paid to differences between adjacent regions from neighboring countries. In the midst of the first wave of the corona outbreak (March-April-May 2020), we measured risk perceptions as perceived threat (consisting of perceived severity and susceptibility) among university students (N = 668) in two connected countries: the Netherlands and Belgium. Theory-based predictor variables included experiential, efficacy-related, socio-cultural, cognitive, and demographic factors. While demographic variables and country were not significant predictors of perceived threat level, all other constructs were. Personal and indirect experiences with COVID-19, as well as higher scores on personal (self) efficacy to carry out recommended preventive behaviors were all associated with higher perceived threat. However, low collective efficacy and lower levels of trust in government were both also significantly associated with higher perceived threat, as was a low level of “lack of COVID-19 knowledge”. These results hold implications for suitable risk communication strategies for increasing students’ COVID-19 risk perceptions.