Since the beginning of the COVID-19 pandemic, authorities around the world explored ways to slowdown the spread of the disease while maintaining the physical and mental health of individuals. They redistributed the street space to promote physical activity and non-motorized travel while meeting the social distancing requirements. Although the statistics showed significant increases in walking and bicycling trips during the pandemic, we have limited knowledge about the associations between built environment characteristics, COVID-19 infection risk perception while traveling, and subjective well-being. This study assesses the impacts of the built environment on subjective well-being and infection risk perception while traveling during the pandemic. It uses data collected from the residents of Columbus, Ohio, through a multi-wave survey conducted at different time points during the COVID-19 outbreak. The findings show that those living in more compact, accessible, and walkable neighborhoods are less likely to perceive active travel and shared micro-mobility as risky in terms of COVID-19 infection. Our results also show that built environment characteristics have indirect effects on the subjective well-being of individuals. The findings of our study demonstrate that built environment interventions can help promote physical activity and support mental health of individuals at this critical time. Our study also indicates that designing compact neighborhoods will be a crucial element of pandemic resilient cities in the post-COVID-19 era.