This paper investigates the relative importance of confidence in state institutions in explaining cross-country differences in the severity of the COVID-19 pandemic. We synthesize the existing related literature and extend that by employing regression and machine learning methods to identify the most critical factors. We find that confidence in state institutions, like government, press, and police, has pronounced power to predict the number of deaths attributed to COVID-19. We find that a one standard deviation increase (e.g., the actual difference between the US and Finland) in confidence is associated with 350.9 fewer predicted deaths per million inhabitants. Confidence in state institutions is the most critical predictor of deaths attributed to COVID-19, compared to country-level measures of individual health risks, the health system, demographics, economic and political development, and social capital. These results suggest that the effective implementation of restriction measures requires citizens to cooperate with their governments, and willingness to cooperate relies on confidence in state institutions.