The volume of research on terrorism has increased since the events of September 11, 2001. However, efforts to develop a contextualized model incorporating cognitive, social-contextual, and affective factors as predictors of individual responses to this threat have been limited. Therefore, the aim of this study was to evaluate a series of hypotheses drawn from such a model that was generated from a series of interviews with members of the Canadian public. Data of a national survey on perceived chemical, biological, radiological, nuclear, and explosives (CBRNE) terrorism threat and preparedness were analyzed. Results demonstrated that worry and behavioral responses to terrorism, such as individual preparedness, information seeking, and avoidance behaviors, were each a function of cognitive and social-contextual factors. As an affective response, worry about terrorism independently contributed to the prediction of behavioral responses above and beyond cognitive and social-contextual factors, and partially mediated the relationships of some of these factors with behavioral responses. Perceived coping efficacy emerged as the cognitive factor associated with the most favorable response to terrorism. Hence, findings highlight the importance of fostering a sense of coping efficacy to the effectiveness of strategies aimed at improving individual preparedness for terrorism.