That's correct! You can't take a dodge action until it's your turn. Going first is extremely deadly. Cunning investigators only choose to fight when they have an overwhelming advantage - if they're lucky enough to have a choice.
Thank you sir! (and thank you for your patience with me in asking in several places online...it's a wonderful game and I'm excited about it, and this question was nagging at me...so I'm happy to have this clarification/affirmation that I'd read it right). The Lurking Fear is wonderful!