Background This study sought to identify cognitive and behavioral predictors of COVID-19 vaccine hesitancy. Specifically, this study examined the effect of anxiety about developing COVID-19 and proactive coping behavior on the likelihood of reporting COVID-19 vaccine hesitancy in a sample of adults living in the United States. Methods An online survey of proactive coping strategies, anxiety related to developing COVID-19, and vaccine hesitancy was administered in October 2020 to 534 adults aged 21–79-years old. Age, gender, race, self-rated health, years of education, COVID-19 knowledge, and perceived constraints were included as covariates. Results Over half of the study participants (56.7%) were COVID-19 vaccine hesitant. People who were less anxious about developing COVID-19 were more likely to be vaccine hesitant. A statistically significant COVID-19 anxiety × proactive coping interaction showed the odds of vaccine hesitancy was highest among individuals with low anxiety about developing COVID-19 and high proactive coping, whereas vaccine hesitancy was lowest among individuals with high COVID-19 anxiety and high proactive coping. Conclusion Results support a future-oriented approach to public health outreach efforts regarding COVID-19 vaccines. Improvement of proactive coping skills and emphasis on the likelihood of contracting COVID-19 may be more effective in increasing vaccine uptake than simply restating scientific facts regarding safety or efficacy.