Objectives: The first objective was to examine the extent to which climbers’ climbing safety perceived competence (CSPC) and perceived own absolute (POAR) and comparative (PCR) risk of getting seriously injured whilst climbing is related to risk exposure. The second objective was to examine which variables influence POAR and PCR. Method: 235 climbers (M = 32, SD = 10.2 years of age) completed the following questionnaires: a CSPC scale specifically developed to assess perceived ability to practice climbing safely; indirect measures of PCR, consisting in the subtraction of the participants’ assessment of their own risks from their assessment of other climbing referents’ risks; and the Life Orientation Test-Revised, measuring dispositional optimism (DO). Participants were approached in their practices sites from Mediterranean regions, and were divided into groups based on their climbing practice’s risk exposure; that is, high-risk: traditional climbing (TRAD; n = 42); moderate risk: leading (LEAD; n = 89); and low risk: either top-roping (TOP; n = 51) or indoor bouldering (IND; n = 53). Results: Analyses of variance showed that TRAD expressed higher CSPC and higher POAR than the other groups. PCR also differed amongst the groups. More specifically, TRAD expressed comparative pessimism and LEAD expressed comparative optimism, as their POAR was, respectively, higher and lower than their perceived average climber’s risk. TOP and IND perceived their own risk in a similar way to that of the average climber. Regression analyses showed that DO did not influence POAR or PCR. Past injury episode was positively related to POAR and negatively related to the propensity to express comparative optimism, though only amongst TRAD and LEAD. Conclusions: Climbers’ risk perception accurately reflected their risk exposure. Climbers whose climbing modality involves higher risks acknowledged so when evaluating their own absolute and comparative risks of getting seriously injured whilst climbing.