In Switzerland, official recommendations relating to alcohol and tobacco use during pregnancy are based on a zero-tolerance policy. However, epidemiological research indicates that some pregnant women do not adhere to the abstinence principle, and this raises the issue of how pregnant women identify and respond to health risks. This article draws on a sociocultural study of 50 mainly white, partnered and educated pregnant women carried out in Switzerland between May 2008 and June 2009. The study used semi-structured interviews that examined how and in what ways pregnancy had changed women’s consumption of alcohol and tobacco and their perceptions of their riskiness. In this article we draw on these data to examine participants’ perceptions of the risks of smoking and drinking during pregnancy. We examine three main issues: women’s understandings of official recommendations, their contextualisation of risk in daily life and the moral issues which they saw surrounding smoking and drinking during pregnancy. We found that the women in our study perceived drinking and smoking during pregnancy as different types of risks with different meanings. The participants contextualised official recommendations about drinking during pregnancy and had their own views about its riskiness. In contrast all participants saw smoking as harmful and risky irrespective of the level of consumption. The pregnant women in our study saw smoking during pregnancy as a risk-taking behaviour and a failure to act in the best interest of the foetus. In contrast, under certain conditions, they saw moderate drinking of alcohol during pregnancy as acceptable and responsible behaviour.