Studies of personality and problem behaviors may begin with analyses of the problem and develop hypotheses about personality traits that might be relevant; or they may begin with models of personality and explore links to behavior. Because it is well validated and relatively comprehensive, the Five-Factor Model (FFM) of personality lends itself to systematic exploratory studies that may sometimes lead to unanticipated findings. In this article, we review a program of research in a high-risk, disadvantaged population that illustrates the utility of the FFM in understanding health risk behavior. Previous analyses showed that behavior associated with the risk of HIV infection can be predicted from the personality dispositions of Neuroticism and (low) Conscientiousness. New data demonstrate that—among respondents objectively at risk—perceived risk of HIV infection is related to Openness to Experience. Low Openness may inhibit accurate assessment of risk by restricting consideration of information and influencing other heuristic biases. Contrary to hypotheses based on the Health Belief Model, perception of risk was not related to behavior change after a four-session intervention program, but Conscientiousness was. These findings suggest that personality traits are related to health risk variables, but not necessarily in ways that might have been expected. Systematic investigation of personality links to problem behaviors may be a useful first step in formulating theories of behavior change.