The purpose of this paper is to understand how married and cohabiting men and women define risk and to identify the factors that influence risk perceptions in a setting with a high prevalence of HIV infection. A combination of qualitative and quantitative methods was used during a cross-sectional survey conducted among 248 men and 289 women in KwaZulu-Natal, South Africa. Forty in-depth interviews were conducted with sexually-active men and women in the same population. The majority of men and women perceived themselves at risk of HIV infection. Women were more likely than men to report a higher risk of HIV infection. Nearly 46% of women and 28% of men perceived themselves at medium or high risk of HIV infection. The qualitative and quantitative data show that perception of risk of HIV infection was influenced both by a person's own sexual behaviour and a partner's sexual behaviour. Men were significantly more likely to perceive themselves at risk because of their own risky sexual behaviour (P < 0.01). In general, few women reported engaging in risky sexual behaviour. However, women were more likely to report that their partners had other sexual partners. Thus, women were significantly more likely to perceive themselves at risk because of their partner's sexual behaviour (P < 0.05). Also, rural women were significantly more likely than urban women to perceive a high risk of HIV infection (P < 0.05). Prevention programmes have an important role to play in creating awareness of the risk of HIV, especially among men. The belief that they are not at risk of HIV infection may result in their failure to adopt self-protective behaviour.