We developed a rapid data collection scheme via Facebook focused on people's behavioural responses to the first wave of the pandemic in Europe and the United States. This is based on the COVID-19 Health Behaviour Survey (CHBS), a cross-national online survey that we conducted from March 13 to August 12, 2020, reaching over 140,000 respondents. Based on this, we illustrated how timely data collection via Facebook, along with appropriate survey designs and statistical methods, can help provide important behavioural insights related to COVID-19.