Background: Public health measures to mitigate the spread of COVID-19 have focused on raising awareness and disseminating knowledge. Few considered people’s risk preferences and no measurement was adapted to the context of COVID-19. This study aims (1) to investigate the association between risk preference and risk behaviors and (2) to compare a novel hedonic preference question with traditional risk preference assessment tools in the context of the COVID-19 pandemic among medical students in Japan. Methods: An online survey of fourth-year medical students was conducted. Logistic regression analysis adjusted for gender, age, household income, and the overconfidence effect were performed to investigate the association. Results: We observed significantly higher odds of high-risk behaviors in general risk preference (odds ratio (OR): 4.04; 95% confidence interval (CI): 1.05–15.50) and hedonic preference (OR: 6.58; 95% CI: 1.86–23.28) when adjusted, whereas monetary preference showed no significant association. Concerning specific risky behaviors, hedonic preference were significantly associated with four items after adjusting for covariates (“dine out” (OR: 2.78, 95% CI: 1.13–6.85), “go out” (OR: 4.35, 95% CI: 1.65–11.46), “not practicing safety precautions” (OR: 2.79, 95% CI: 1.11–7.04) and “travel” (OR: 4.36, 95% CI: 1.42–13.44)), and general preference in two (“dine out” (OR: 4.82, 95% CI: 1.66–14.00) and “go out” (OR: 6.48, 95% CI: 2.07–20.24)). Conclusion: Hedonic and general risk preferences were significantly associated with high-risk behaviors during the COVID-19 pandemic. Future application of the novel risk-for-pleasure-seeking preference question is warranted.