Little is known about the context sensitivity of users’ online security perceptions and behaviors to national and individual attributes, and there is inadequate research about the spectrum of users’ behaviors in dealing with online security threats. In addressing this gap, this paper draws on two complementary theoretical bases: (1) the contextualization of the protection motivation theory (PMT) to online security behavior and (2) a polycontextual lens for the cross-national comparison of users’ security behaviors in the United States and China. The conceptualized model is tested based on 718 survey observations collected from the United States and China. The results support our model and show the divergence between the United States, an exemplar of modern Western society, and China, an exemplar of traditional Eastern society, in forming threat perceptions and in seeking help and avoidance as coping behaviors. Our results also uncovered the significant moderating impacts of espoused culture on the way perceptions of security threats and coping appraisals influence security behaviors. Our findings underline the importance of context-sensitive theory building in security research and provide insights into the motivators and moderators of individuals’ online security behaviors in the two nations.