Objectives Self-affirmation (e.g., by reflecting on important personal values) has been found to promote more open-minded appraisal of threatening health messages in at-risk adults. However, it is unclear how self-affirmation affects adolescents and whether it has differential effects on the impact of these messages amongst those at relatively lower and higher risk. The current study explored moderation by risk. Design Participants were randomly assigned to either a self-affirmation or a control condition before receiving a health message concerning physical activity. Methods Older adolescents (N = 125) completed a self-affirmation or control writing task before reading about the health consequences of not meeting recommendations to be physically active for at least 60 min daily. Most of the sample did not achieve these levels of activity (98%, N = 123). Consequently, the message informed these participants that – unless they changed their behaviour – they would be at higher risk of heart disease. Participants completed measures of responses to the message and behaviour-specific cognitions (e.g., self-efficacy) for meeting the recommendations. Results For relatively inactive participants, self-affirmation was associated with increased persuasion. However, for those who were moderately active (but not meeting recommendations), those in the self-affirmation condition were less persuaded by the message. Conclusions Whilst self-affirmation can increase message acceptance, there are circumstances when the open-mindedness it induces may decrease persuasion. The evidence provided in this study suggests that caution may be needed when recommendations are challenging and it could be considered reasonable to be sceptical about the need to change behaviour.