This research characterizes risk perceptions of the COVID-19 pandemic and the COVID-19 vaccines based on the dread and unknown dimensions of the psychometric paradigm. We examine if mental risk comparisons of these two risk objects influence risk mitigation behaviors (vaccination intention; vaccine acceptance; preventive behaviors) and emotional responses among unvaccinated and vaccinated Americans. A survey (N = 1532) was conducted based on a nationally representative sample of U.S. adults in May 2021. Results reveal considerable impact of risk comparison, especially along the dread dimension, on the outcomes of interest. In essence, this research reveals critical insights regarding vaccine hesitancy and risk communication about vaccination.