The COVID-19 pandemic and the measures to counteract it have highlighted the role of individual differences in evaluating and reacting to emergencies, and the challenges inherent in promoting precautionary behaviours. We aimed to explore the psychological and cognitive factors modulating behaviour and intentions during the national lockdown in Italy. We administered an online questionnaire (N = 244) that included tests for assessing personality traits (Temperament and Character Inventory; Locus of Control of Behaviour) and moral judgment (Moral Foundations Questionnaire), alongside behavioural economics tasks addressing different facets of risk attitude (loss aversion, risk aversion and delay discounting). We then assessed the extent to which individual variations in these dimensions modulated participants' compliance with the lockdown norms. When assessing their joint contribution via multiple regressions, lockdown adherence was mostly predicted by internal locus of control, psycho-economic dimensions suggestive of long-sighted and loss-averse attitudes, as well as personality traits related to cautionary behaviour, such as harm avoidance, and the authority moral concern. These findings show that a multi-domain assessment of the factors underlying personal intentions, and thus driving compliance with government measures, can help predict individuals' actions during health emergencies. This evidence points to factors that should be considered when developing interventions and communication strategies to promote precautionary behaviours.