This data was gathered to investigate how individuals' levels of intolerance to distress and instant anxiety are related to some of the behaviors that people can change in response to the COVID-19 pandemic. We present a dataset based on a four-wave survey of the social and psychological effects of the COVID-19 pandemic in Turkey (N = 2,817). Turkey was heavily impacted by the first waves of infections in 2020, and citizens were forced to adapt to governmental measures. So, the dataset provides unique opportunities to investigate the COVID-19 pandemic's role in shaping people's intolerance to distress and instant anxiety. The survey considered personal cleaning behavior, bank/credit card usage, online spending habits, individual security perception, and stockpile behavior. Furthermore, in this data, whether an individual or a household member was officially diagnosed with COVID-19 and socio-demographic indicators were determined. Hence, the resulting dataset can enable various analyses on social, psychological, perceived security, and self-rated health, influencing how individuals' levels of intolerance to distress and instant anxiety.