Most Americans recognize that smoking causes serious diseases, yet many Americans continue to smoke. One possible explanation for this paradox is that perhaps Americans do not accurately perceive the extent to which smoking increases the probability of adverse health outcomes. This paper examines the accuracy of Americans’ perceptions of the absolute risk, attributable risk, and relative risk of lung cancer, and assesses which of these beliefs drive Americans’ smoking behavior. Using data from three national surveys, statistical analyses were performed by comparing means, medians, and distributions, and by employing Generalized Additive Models. Perceptions of relative risk were associated as expected with smoking onset and smoking cessation, whereas perceptions of absolute risk and attributable risk were not. Additionally, the relation of relative risk with smoking status was stronger among people who held their risk perceptions with more certainty. Most current smokers, former smokers, and never-smokers considerably underestimated the relative risk of smoking. If, as this paper suggests, people naturally think about the health consequences of smoking in terms of relative risk, smoking rates might be reduced if public understanding of the relative risks of smoking were more accurate and people held those beliefs with more confidence.