Objectives. We observed how perceptions of risks, costs, crime rewards, and violence exposure change as individual gun-carrying behavior changes among high-risk adolescents. Methods. We analyzed a longitudinal study (2000–2010) of serious juvenile offenders in Maricopa County, Arizona, or Philadelphia County, Pennsylvania, assessing within-person changes in risk and reward perceptions, and violence exposure as individuals initiated or ceased gun carrying. Results. Despite being associated with heightened exposure to violence, gun carrying was linked to lower perceptions of risks and costs and higher perceived rewards of offending. Gun carrying was not time-stable, as certain individuals both started and stopped carrying during the study. Within-person changes in carrying guns were associated with shifting perceptions of risks, costs, and rewards of crime, and changes in exposure to violence in expected directions. Conclusions. Gun carrying reduces perceptions of risks associated with offending while increasing actual risk of violence exposure. This suggests that there is an important disconnect between perceptions and objective levels of safety among high-risk youths. Gun-carrying decisions may not only be influenced by factors of protection and self-defense, but also by perceptions of risks and reward associated with engaging in crime more generally.