This paper develops the concepts of ‘doing’ and ‘undoing’ risk, a new approach to risk research that echoes the ‘doing gender’ of gender studies. In this way, we combine intersectional and risk theory and apply the new perspective to empirical material. To better explore the doing and undoing, or the performance, of risk, we will refer to practices that simultaneously (re)produce and hide socio-political norms and positions, played out in contemporary, hierarchical relations of power and knowledge. The aim is to develop a theoretical understanding of doing and undoing risk. The study makes use of transcripts from five focus group interviews with men and women, lesbian, gay, bisexual and transgender people of different ages living in Sweden to develop a theory of ‘doing risk’. The doing of risk of our informants takes place within the frame of a hegemonic heteronormativity. The way that risks are perceived and done in everyday life therefore always needs to be read within a frame of prevailing structures of power. This counts for all of us as we are all part of the hegemonic power structures and thereby are both subject to the intersecting doings of risk and performatively reproducing these power structures in practice. © 2017 Taylor & Francis.