In the absence of a vaccine, governments have focused on social distancing, self-isolation, and increased hygiene procedures to reduce the transmission of SARS-CoV-2 (COVID-19). Compliance with these measures requires voluntary cooperation from citizens. Yet, compliance is not complete, and existing studies provide limited understanding of what factors influence compliance; in particular modifiable factors. We use weekly panel data from 51,000 adults across the first three months of lockdown in the UK to identify factors that are related to compliance with COVID-19 guidelines. We find evidence that increased confidence in government to tackle the pandemic is longitudinally related to higher compliance, but little evidence that factors such as mental health and wellbeing, worries about future adversities, and social isolation and loneliness are related to changes in compliance. Our results suggest that to effectively manage the pandemic, governments should ensure that confidence is maintained, something which has not occurred in all countries.