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During the COVID-19 lockdown in the US, many businesses were shut down temporarily. Essential businesses, most prominently grocery stores, remained open to ensure access to food and household essentials. Grocery shopping presents increased potential for COVID-19 infection because customers and store employees are in proximity to each other. This study investigated shoppers' perceptions of COVID-19 infection risks and put them in context by comparing grocery shopping to other activities outside home, and examined whether a proactive preventive action by grocery stores influence shoppers' perceived risk of COVID-19 infection. Our data were obtained via an anonymous online survey distributed between April 2 and 10, 2020 to grocery shoppers in New York State (the most affected by the pandemic at the time of the study) and Washington State (the first affected by the pandemic). We found significant factors associated with high levels of risk perception on grocery shoppers. We identified some effective preventive actions that grocery stores implement to alleviate anxiety and risk perception. We found that people are generally more concerned about in-store grocery shopping relative to other out-of-home activities. Findings suggest that a strict policy requiring grocery store employees to use facemasks and gloves greatly reduced shoppers' perceived risk rating of infection of themselves by 37.5% and store employees by 51.2%. Preventive actions by customers and businesses are critical to reducing the unwitting transmission of COVID-19 as state governments prepare to reopen the economy and relax restrictions on activities outside home., Competing Interests: The authors have declared that no competing interests exist.