In this article we discuss the strategies that people may use to cope with situations that are risky in that they present the possibility for failure and potential threats to self-esteem. Previous research has indicated that anxiety (Sarason, 1980) and explicitly set low expectations (Sherman, Skov, Hervitz, & Stock, 1981) may lead to performance deficits in these situations. Experiment 1 indicates, in contrast, that with a strategy called defensive pessimism (Norem & Cantor, 1986), individuals may sometimes use low expectations to cope with their anxiety so that it does not become debilitating. A second experiment further supports the contention that low expectations may help individuals negotiate risky situations by showing that interference with the defensive-pessimism strategy impairs performance. Subjects whose strategic construction of the situation was not interfered with do not show impaired performance. These data are interpreted as evidence that the effects of low expectations and high anxiety on performance may be mediated by the strategies individuals use when approaching risky situations.