To reduce the widespread unlawful downloading of copyrighted media, industry has responded via litigation against individual file sharers and by lobbying governments to strengthen intellectual property laws. Such approaches have had limited success in reducing unlawful content sharing. We explore how much perceptions of legal risk impact upon stated unlawful behaviour as well as how relevant factors such as the perceived benefits of unlawful file sharing, trust in industry and legal regulators, and perceived anonymity online impact upon this perceived risk. We examine these questions via a large two-part survey of consumers of music (n = 658) and eBooks (n = 737). We find perceptions of legal risk fail to predict stated file sharing behaviour, while the perceived benefit of unlawfully downloaded files does predict behaviour. The relationship between perceived risk and behaviour is partially mitigated by perceived benefits. We also show that trust in industry and regulators enhance perceptions of risk, while perceptions of anonymity lower perceptions of risk. High trust and high anonymity impact on the effect of perceived benefit on risk perception. These findings have practical implications in terms of the likely success of different behavioural interventions and theoretical implications into how perceptions of risk are processed.