Fleeing from predators and moving into protective habitats are two common antipredator behaviours in the animal kingdom. Surprisingly, the relative cost/benefit trade-off of each behavioural option has rarely been examined empirically. Here, we investigate the interplay between decisions surrounding escape behaviour and rocky microhabitat occupancy in lake sturgeon, Acipenser fulvescens. In high-risk clear-water environments, sturgeon responded to danger by evoking an escape response and by seeking cover in rocky microhabitats. However, in low-risk turbid environments, we found that sturgeon responded to danger by seeking cover in rocky microhabitats, but not fleeing to a significant degree. Cover-seeking behaviour may therefore be a relatively low-cost/high-benefit antipredator strategy. These findings highlight the importance of structural habitat heterogeneity for prey animals in predator-dominated landscapes.