Construction is one of the most hazardous industries. This study analyzes occupational risk and focuses specifically on the question of perception of risk based on a sample of construction workers from three countries (Spain, Peru, and Nicaragua) that, in spite of sharing the same language (Spanish), have different socioeconomic levels. The model used for this study is based on the psychometric paradigm. The results of the survey using a questionnaire indicate that the sample population can be separated into two different clusters, each characterized either by a high or a low perception of risk. The authors then attempted to establish a link between the level of perceived risk and different socio-demographic variables. The outcome is that only the training variable significantly altered the perception of risk. This finding, as well as various other aspects of risk perception from the different nations, are discussed. The conclusions of this study provide interesting guidelines for risk management for the construction industry, such as, for example, the increase of the number of hours of worker safety and health training or that the nationality the workers does not appear to affect worker risk perception.