It is well known that environmental protection behaviors are influenced by both individual internal motivation and external environmental pressure, but few studies have looked at the two kinds of factors together. In order to study the influence mechanism of these two kinds of factors on the environmental protection behavior of urban residents, especially the difference between these two kinds of factors, we take personal norms and social norms as independent variables into the theoretical model. Results based on survey data of 731 urban residents revealed that personal norms and social norms both are positively associated with environmental protection behavior. Moreover, environmental protection willingness was found to mediate the relationship of personal and social norms with environmental protection behavior. We also found that the direct and indirect influences of personal norms on environmental protection behavior are greater than that of social norms. Further, the study revealed that cost consciousness moderates the relationship between personal norms, environmental protection willingness, and environmental protection behavior. Our results suggest that personal norms have a greater impact on environmental protection behavior than social norms. Therefore, we need to make greater efforts to promote environmental education and cultivate young people’s sense of environmental responsibility from an early age. At the same time, it is necessary to maintain appropriate environmental pressure and reduce the environmental cost in the daily life of residents.