There is currently little scientific evidence available that allows us to understand patterns of knowledge, risk perception, attitudes, and behaviours among adolescents in relation to COVID-19. This study aims to analyse the relationship between knowledge about COVID-19, risk perception, and psychological variables and the adherence to preventive measures among the adolescent population. It is a descriptive cross-sectional study, which included adolescents between the ages of 12 and 18 (n = 354). The questionnaire was sent to several secondary schools chosen by convenience sampling and following a non-probabilistic snowball sampling. Descriptive, univariate, and multivariate analyses were carried out in order to determine whether knowledge about COVID-19, risk perception, tolerance of frustration, planning and decision-making, family functionality, self-efficacy, self-esteem, and social skills are related to preventive measures. The adoption among adolescents of behaviours which protect them against COVID-19 depends on knowledge about the disease, the perception of the risk it poses to them, as well as their tolerance of frustration and planning and decision-making abilities. The relationship between the individual variables among adolescents with the adoption of behaviours which protect them against COVID-19 has been confirmed. The development of intervention and communication strategies that take the psychosocial situation of adolescents into account will help to increase the adoption of protective health behaviours in the context of a pandemic.