We use a natural experiment to study how the announcement of the UK COVID-19 lockdown affected citizens' attitudes towards the pandemic and the government's response to it. On the day of the lockdown announcement, YouGov ran a survey that captured responses before and after the announcement. Comparison of these responses suggests that the lockdown announcement made people more supportive of the government's response to the crisis but also (perhaps surprisingly) more concerned about the pandemic. Analysis of heterogeneous treatment effects suggests that the announcement narrowed gaps in perceptions of the crisis, increasing support for the government's response especially among those who had been least supportive and increasing concern about the pandemic especially among those who had been least concerned. Overall, the findings highlight a tension inherent in governing during times of crisis: actions that increase people's confidence in government and induce compliance with government directives may also tend to increase anxiety among the population.