Transboundary haze episodes caused by seasonal forest fires have become a recurrent phenomenon in Southeast Asia, with serious environmental, economic, and public health implications. Here we present a cross-sectional survey conducted among people in Kuala Lumpur and surrounds to assess the links between knowledge, attitudes, and practices in relation to the transboundary haze episodes. Of 305 respondents, 125 were amateur athletes participating in a duathlon event and the remainder were surveyed in an inner-city shopping mall. Across the whole sample, people who possessed more factual information about the haze phenomenon showed significantly higher levels of concern. Duathletes were more knowledgeable than non-duathletes and also more concerned about the negative effects of haze, especially on health. For all people who regularly practice outdoor sports (including people interviewed at the shopping mall), higher levels of knowledge and concerned attitudes translated into a greater likelihood of engaging in protective practices, such as cancelling their outdoor training sessions, while those with greater knowledge were more likely to check the relevant air pollution index on a daily basis. Our results indicate that the provision of accurate and timely information about air quality to residents will translate into beneficial practices, at least among particularly exposed individuals, such as amateur athletes who regularly practice outdoor sports.