Unrealistic optimism is one of the most pervasive phenomena across various cultures and populations. However, researchers have not clarified its consequences. Thus, this study clarifies the role of unrealistic optimism by investigating the specific paths through which unrealistic optimism exerts its effects. Specifically, guided by the protection motivation theory and unrealistic optimism literature, this study examines how unrealistic comparative optimism motivates individuals to engage in protective behaviors during COVID-19. A cross-sectional survey was administered to 497 Korean citizens in the middle of the pandemic. While the results showed the presence of unrealistic comparative optimism in the COVID-19 context, the analysis indicated that unrealistic comparative optimism was not associated with mask-wearing behavior. Meanwhile, it showed that coping appraisal, which encompasses self-efficacy and response efficacy, led to mask-wearing behavior. Most importantly, the results indicated that unrealistic comparative optimism moderated self-efficacy's association with mask-wearing behavior.