In this study, we investigated the perception of risk and the worries about COVID-19 infection in both healthcare workers and the general population in Italy. We studied the difference in risk perception in these two groups and how this related to demographic variables and psychological factors such as stress, anxiety, and death anxiety. To this aim, we administered an online questionnaire about COVID-19 together with other questionnaires assessing the psychological condition of participants. First, we found that the exposition to infection risk, due to living area or job, increased the perceived stress and anxiety (i.e., medical staff in North Italy was more stressed and anxious with respect to both medical- and non-medical participants from Center and South Italy). Then, we conducted hierarchical logistic regression models on our data to assess the response odds ratio relatively to each regressor on each dependent variable. We found that health workers reported higher risk perception, level of worry, and knowledge as related to COVID-19 infection compared to the general population. Psychological state, sex, and living area were less related to these factors. Instead, judgments about behaviors and containment rules were more linked to demographics, such as sex. We discussed these results in the light of risk factors for psychological distress and possible interventions to meet the psychological needs of healthcare workers.