The COVID–19 pandemic poses unprecedented risks to the health and well-being of the entire population in the U.S. To control the pandemic, it is imperative for individuals to take precautionary behaviors (e.g., wearing a mask, keeping social distance, washing hands frequently, etc.). The factors that influence individual behavioral response thus warrants a close examination. Using survey data for respondents from 10 states merged with state-level data, our study represents a pioneering effort to reveal contextual and individual social capital factors that explain public mask wearing in response to COVID–19. Findings of logistic multilevel regression show that the COVID–19 death rate and political control of government at the state level along with one's social capital at the individual level altogether influence whether people decide to wear face masks. These findings contribute to the rapidly growing literature and have policy implications for mitigating the pandemic's devastating impact on the American public.