Borderline personality disorder (BPD) is a severe mental illness characterized by high rates of engagement in distress-induced risk behavior. Unfortunately, extant laboratory-based risk paradigms have failed to account for the role of distress in precipitating risk behavior, so many questions remain about processes mechanisms that underlie this behavior. The current study examined affect as a moderator of the relationship between diagnostic status and risk behavior, as measured by a behavioral risk task, and affective and non-affective neurocognitive functioning as potential mediators of this relationship. Results indicated that individuals with BPD engaged in more risk behavior in the distress condition than in the neutral condition, whereas individuals without BPD showed a decrease in risk behavior across the two conditions. However, corresponding changes in executive functioning were not observed, suggesting the need for continued research to identify alternative mechanisms (e.g., neurocognitive, motivational) to explain this effect.