As humans, several non-human animal species avoid risk, defined as ‘‘variability in rate of gain’’. However, non-human primate studies revealed a more complicated picture, with different species ranging from risk aversion to risk proneness. Within an ecological rationality framework, a species’ feeding ecology should influence its risk preferences, as it has been shown in bonobos and chimpanzees. Although the feeding ecology hypothesis is promising, it has not been yet verified in species other than apes. Here, we aimed to assess whether this hypothesis holds true in tufted capuchin monkeys (Sapajus spp.). Ten capuchins were presented with choices between a ‘‘safe’’ option and a ‘‘risky’’ option in three conditions differing for the probability of receiving the larger reward when selecting the risky option. Similarly to chimpanzees, capuchins were risk prone. However, capuchins’ behaviour was not the result of a bias towards the choice of the risky option, since - when facing options with different probabilities of obtaining the larger outcome - they were able to flexibly modify their preferences. Capuchins’ decision-making under risk mirrors their risk-prone behaviour in the wild, where they often rely on unpredictable and/or hazardous food sources, thus satisfying the feeding ecology hypothesis.