This paper presents the dataset concerning knowledge, preventive behavior, psychological consequences, and suicidal behavior regarding the COVID-19 pandemic in Bangladesh. Data were collected through an online based cross-sectional survey between April 1 and April 10 in 64 districts at the early stage of the COVID-19 pandemic in Bangladesh. A total of 10,067 participants' data were recruited for analysis. The survey contained items concerning (i) socio-demographic information, (ii) knowledge concerning COVID-19, (iii) behavior towards COVID-19, (iv) lockdown and economic issues, (v) assessment of fear of COVID-19, (vi) assessment of insomnia, (vii) assessment of depression, and (viii) assessment of suicidal ideation. Data were analyzed utilizing SPSS (version 22) and are represented as frequencies and percentages based on responses to the whole survey. Given that the data were collected across the whole nation, government authorities and healthcare policymakers can use the data to develop various models and/or policies regarding preventive strategies and help raise awareness through health education towards COVID-19.