The seismic risk assessment of existing concrete gravity dams is of primary importance for our society because of the fundamental role of these infrastructures in the sustainability of a country. The seismic risk assessment of dams is a challenging task due to the lack of case histories, such as gravity dams’ seismic collapses, which hinders the definition of limit states, thus making the application of any conventional safety assessment approach difficult. Numerical models are then fundamental to predict the seismic behaviour of the complex dam-soil-reservoir interacting system, even though uncertainties strongly affect the results. These uncertainties, mainly related to mechanical parameters and variability of the seismic motion, are among the reasons that, so far, prevented the performance-based earthquake engineering approach from being applied to concrete dams. This paper discusses the main issues behind the application of the performance-based earthquake engineering to existing concrete dams, with particular emphasis on the fragility analysis. After a critical review of the most relevant studies on this topic, the analysis of an Italian concrete gravity dam is presented to show the effect of epistemic uncertainties on the calculation of seismic fragility curves. Finally, practical conclusions are derived to guide professionals to the reduction of epistemic uncertainties, and to the definition of reliable numerical models.