We investigated Nicholls' (Psychol Rev 91:328–346, 1984) predictions concerning the impact of achievement goals (manipulated and measured) on risk-taking behavior. Participants were given ego-involving or neutral instructions and chose the difficulty levels for 10 nonverbal cognitive problems they performed. Consistent with Nicholls' prediction, a moderate level of difficulty was initially preferred following neutral instructions. In contrast, following ego-involving instructions, women tended to select a lower level of difficulty and men a higher level of difficulty, reflecting the fact that men reported higher levels of perceived ability than women. Endorsements of mastery- and performance-approach goals were generally positively related to the levels of difficulty selected across trials. Endorsement of performance-avoidance goals was negatively related to the levels of difficulty selected, but the relationship diminished in later trials. During the later trials, participants given ego-involving instructions selected higher levels of difficulty than those given neutral instructions and men selected higher levels of difficulty than women.