In the present study, the aim was to investigate the associations between compliance with preventive health behaviours, depression, anxiety and stress. 478 adults living in Turkey voluntarily filled out the online survey, which comprised demographic questions, Measure of Compliance with Preventive Health Behaviours against COVID-19, and Depression Anxiety Stress Scales, between 24-31 March 2020: during the initial phase of the COVID-19 pandemic in Turkey. Results revealed that compliance with preventive health behaviours has negative associations with depression, anxiety and stress. Adults' compliance with the recommended preventive health behaviours accounted for 14% variance in depression, 9% variance in anxiety and 10% variance in stress. The evidence might indicate that compliance with preventive health behaviours may protect people psychologically against the burden created by the novel COVID-19 pandemic.