Abstract This paper describes the findings from a 10-month ethnographic study of the female sex industry in a large British city. I argue that sex workers construct a continuum of risk which prioritises certain types of dangers depending on the perceived consequences and the degree of control individuals consider they have over minimising the likelihood of a risk occurring. Although health-related matters are a real concern to many women, because they generally have comprehensive strategies to manage health risks at work, this risk category is given a low priority compared with other risks. The risk of violence is considered a greater anxiety because of the prevalence of incidents in the sex work community. However, because of comprehensive screening and protection strategies to minimise violence, this type of harm is not given the same level of attention that emotional risks receive. By using a continuum of risk to understand how sex workers perceive occupational hazards in prostitution, further understanding can be gained about the nature of risk in prostitution, sex workers’ routines and the organisational features of the sex industry. In addition, the implications for health policy are discussed, suggesting that the emotional consequences of selling sex should be considered as much as the tangible, physical risks of prostitution.