Knowledge of infectious diseases and self-action are vital to disease control and prevention. Yet, little is known about the factors associated with knowledge of and self-action to prevent the coronavirus disease (COVID-19). This study accomplishes two objectives. Firstly, we examine the determinants of COVID-19 knowledge and preventive knowledge among women in four sub-Saharan African countries (Kenya, Nigeria, the Democratic Republic of Congo, and Burkina Faso). Secondly, we explore the factors associated with self-action to prevent COVID-19 infections among these women. Data for the study are from the Performance for Monitoring Action COVID-19 Survey, conducted in June and July 2020 among women aged 15–49.