As countries underwent the initiation, peak, post-peak, and early vaccination stages of COVID-19, the changing risk perception, coping behaviors and corresponding psychological stress experienced by the public over time was rarely reported. We conducted a national scale panel study using social-psychological data collected from 5,983 questionnaires to investigate the interactions between anxiety level, risk perception and coping behavior during different stages of COVID-19 in China. We found that sustained perceiving worries of being infected, first due to domestic and then global pandemic, contributed to the persistent high proportion of respondents with anxiety disorders which even gradually increased over time (56.1% during initiation to 60.4% during early vaccination). Gender was the strongest predictor of anxiety at all stages, with females having less confidence in COVID-19 control and always suffering from much higher anxiety levels than males even during the post peak stage. Excessive protective behavior and frequency of access to COVID-related news also contributed to public anxiety. Additionally, public risk perception was significantly associated with their willingness to vaccinate. The findings verify the feasibility of taking stage-specific and gender-based risk communication strategies to alleviate the pandemic-related public anxiety and promote vaccination by influencing public risk perception and guiding coping behaviors.