Models of learning about economic crises generate risk premia that rise at the onset of a crisis, but then fall as belief uncertainty fades. In contrast, empirical risk premia remain elevated during crises. We resolve this tension via leverage dynamics generated by the impact of learning on optimal default and capital structure decisions within a representative agent consumption-based model. Endogenously time-varying leverage creates a feedback loop: the learning-induced slow recovery in equity prices raises leverage, thereby further depressing equity values and keeping the equity premium and credit spreads persistently high as the crisis unfolds. We structurally estimate the model and show it closely matches the joint dynamics of consumption, equity risk premia, credit risk, and leverage, especially during crises, together with the term structure of credit risk and default probabilities.