Background The impacts of COVID-19 are not evenly distributed in society. Understanding the differences in the experiences and perceptions of COVID-19 related risk may help to improve the effectiveness of public health strategies in the future. Method We surveyed a nationally representative sample of 496 participants during the strictest period of the UK lockdown. We recorded data to assess people’s experiences during the pandemic, information seeking behaviours, and perceptions of COVID-19 related risk. Results We found that key workers reported greater exposure to COVID-19 and more extensive experience of the virus within their social circles. Those key workers who perceived their personal protective equipment to be more effective felt that the virus was less of a threat to their lives. Trust in COVID-19 information was highest in information from the UK Government and NHS, and lowest in information from social media. We also found that men reported lower levels of perceived threat to life from the virus than women and lower occupational class was associated with higher levels of perceived risk amongst those in employment. Conclusions Our findings highlight that demographic differences in actual risk from COVID-19 are not always accurately reflected by differences in perceived risk. Key workers who feel that they are insufficiently protected by their PPE experience increased levels of fear, which may lead to negative health behaviours. This highlights the need for employers to ensure that key workers feel they are adequately protected from COVID-19. Our findings highlight some of the inequalities in the distribution of risk across society and discuss demographic differences in perceptions of risk.