Do men and women differ with respect to sensation-seeking behavior, an extreme form of risk preferences? In this paper, I use data from two different high-risk sports—cliff diving and free diving—to test for possible differences between the genders. My findings suggest that, first, women are under-represented in both sports, but that, second, for those who self-select into these occupations, no differences with respect to sensation-seeking behavior can be found between men and women.