Risk perception (RP) is studied in many research disciplines (e.g., safety engineering, psychology, and sociology). Definitions of RP can be broadly divided into expectancy-value and risk-as-feeling approaches. In the present review, RP is seen as the personalization of the risk related to a current event, such as an ongoing fire emergency; it is influenced by emotions and prone to cognitive biases. We differentiate RP from other related concepts (e.g., situation awareness) and introduce theoretical frameworks relevant to RP in fire evacuation (e.g., Protective Action Decision Model and Heuristic-Systematic approaches). Furthermore, we review studies on RP during evacuation with a focus on the World Trade Center evacuation on September 11, 2001 and present factors modulating RP as well as the relation between perceived risk and protective actions. We summarize the factors that influence perception risk and discuss the direction of these relationships (i.e., positive or negative influence, or inconsequential) and conclude with presenting limitations of this review and an outlook on future research.