(1) Background: Breast cancer (BC) shows significant epidemiological differences between Eastern and Western countries. These may arise from socio-cultural factors influencing how healthy young women perceive this condition, their risk of getting cancer, and the implications for preventive screening behaviors. In this study, the illness perceptions, individual risk perception, compared risk, and beliefs about preventive behaviors for BC of female university students were compared using an anonymous online survey between a European country (Portugal) and the United Arab Emirates. (2) Method: A structural equation model (SEM) was developed to investigate the hypothetical relationship between illness perceptions and compared risk as predictors of perceived risk for BC. (3) Results: There were significant differences between the study variables. The SEM was invariant, but the differences between regression coefficients in both countries were highly statistically significant. Mediation analyses revealed a significant indirect effect of compared risk on individual risk and a significantly stronger direct effect for the Emirati sample. (4) Conclusions: These findings suggest that cultural research may help to explain factors that may shape social comparison of individual risk characteristics and influence perceived risk. Moreover, providing culturally appropriate strategies to be designed and implemented can promote early detection behaviors for BC.