We examined the effects of anticipatory emotions induced by episodic future thinking on the basic decision-process of delay discounting and preventive behaviors during the most stringent COVID-19 “lockdown” period in China. We define anticipatory emotions as any discrete emotions induced from anticipating decision outcomes and felt during decision-making. In an online study conducted with healthy volunteers, anticipatory emotions were induced and appraised by asking participants to rate various emotions they feel when thinking they may be infected by COVID-19 (N = 246). The participants in the control group reported their present emotions during the COVID-19 pandemic (N = 245). Compared with the control group, the participants in the anticipatory emotion group had a higher future-oriented preference for monetary rewards, with a significantly lower delay discounting rate. These participants also had a higher intention to engage in proactive, preventive behaviors. The likelihood estimate of being infected by COVID-19 mediated these effects. Moreover, anticipatory disgust increased the preference for larger-and-later rewards. Anticipatory emotions induced by future thinking guide fast and rational decision-making in a health crisis.