People consistently show an optimistic bias when they are asked to compare their health-related risks with those of their peers. This cross-cultural study explored why most people think that they are less at risk than others. Two experiments conducted in the U.S. and Denmark examined social comparison as a possible cause of the optimistic bias. In Experiment 1 American and Danish college students were asked to compare their risks for unplanned pregnancy, sexually transmitted diseases, and HIV with those of either a friend or a typical student, under conditions in which social comparison was or was not made salient. As expected, results indicated that Americans and Danes who compared themselves with a friend did not differ in their degree of optimistic bias. In contrast, when subjects compared themselves with a typical student, Americans were much more optimistically biased than Danes. That is, when given the opportunity to feel optimistically biased by comparing themselves with a distant target, Americans took advantage of this to a much greater extent than did the Danes. This main finding was not moderated or mediated by any of the individual difference variables measured. Contrary to expectations the social comparison manipulation had no effect. In Experiment 2 American and Danish college students compared their risks of an unplanned pregnancy with those of a friend and those of a typical student under three different social comparison conditions: (1) targets were freely selected, (2) risky targets were selected (thus creating downward comparisons), and (3) safe targets were selected (thus creating upward comparisons). Experiment 2 replicated the primary result from Experiment 1: Americans were more optimistic than Danes when the target of comparison was a typical student rather than a friend. Furthermore, differences in optimism appeared to be partly the result of differences between Americans and Danes in downward comparison processes; relative to the Danes, the Americans utilized downward comparisons more effectively when they were provided and were more likely to create downward comparisons if they were not provided. These findings are discussed in terms of downward social comparison processes and their impact on the optimistic bias.