Background: Effective self-help may reduce the risk of depression, and risk perception of depression may play a role in initiating self-help. However, it is currently unknown how risk perception is associated with self-help behaviours. The objectives of this study are to (1) describe the self-help strategies used by high risk Canadians in relation to the accuracy levels of their perceived depression risk, relative to sex, and (2) identify demographic, socioeconomic, and clinical factors associated with self-help behaviors.Methods: Baseline data from a randomized controlled trial including 358 men and 356 women at high risk of developing depression were used. Accuracy of risk perception was determined by comparing the participant’s self-perceived and objective risk of developing depression, which was assessed using sex-specific multivariable risk predictive algorithms. The frequency of using 14 self-help strategies was assessed. One-way ANOVA testing was used to determine whether differences in risk perception accuracy groups existed within both male and female participants. Linear regression was used to investigate the clinical and demographic factors which were associated with self-help behaviours in males and females separately.Results: Compared to accurate risk estimators, male over-estimators were less likely to “leave the house daily,” and “participate in activities they enjoy.” Male under-estimators were also less likely to “participate in activities they enjoy.” Both ‘inaccurate’ perception groups in men were more likely to ‘create lists of strategies which have worked for feelings of depression in the past and use them’. There were no significant differences between self-help behaviors and the risk perception accuracy in women. Regression modeling showed negative relationships between self-rated health and self-help scores, irrespective of sex. In women, self-help score was positively associated with age, and educational attainment, and negatively associated with perceived risk. In men, a positive relationship with unemployment was also seen. Conclusions: Sex differences exist in the factors associated with self-help. The accuracy of risk perception, work status, and self-rated health is associated with self-help behaviors in high risk men. Factors which may be related to self-help in women include age, education, self-rated health status, and perceived risk. More research is needed to replicate the findings.