Prey species minimize the risk of predation directly by avoiding predators and indirectly by avoiding risky habitat. Habitat loss and fragmentation have been prevalent in Greater Sage-Grouse (Centrocercus urophasianus; hereafter “sage-grouse”) habitat, which has necessitated a better understanding of mechanisms driving habitat use. Using multinomial logistic regression, we compared landscape attributes and anthropogenic features (indirect mechanisms) and densities of avian predators (direct mechanisms) among 792 sage-grouse locations (340 nests, 331 early brood, and 121 late brood) and 660 random locations in Wyoming, USA, in 2008–2011. Anthropogenic features included oil and gas structures, communication towers, power lines, roads, and rural houses; and landscape attributes included a normalized difference vegetation index (NDVI), topographic ruggedness, the proportion of big sagebrush (Artemisia spp.), and proximity and proportion variables for forested and riparian habitats. Sage-grouse locations were best described with models that included multiple habitat variables and densities of small, medium, and large avian predators. Thus, both indirect and direct mechanisms of predator avoidance were employed by sage-grouse to select habitat and presumably lower their exposure to predation and nest predation. At all reproductive stages, sage-grouse selected flatter locations with a greater proportion of big sagebrush, a higher NDVI, and lower densities of oil and gas structures. Nest locations had a lower density of major roads and were farther away from riparian habitat; early-brood locations had a lower density of power lines and were closer to rural houses; and late-brood locations were closer to riparian habitat. The magnitudes of direct and indirect avoidance by sage-grouse hens were dependent on a sage-grouse's reproductive stage. Differential habitat use of female sage-grouse relative to predation risk and food availability was a means for sage-grouse hens to lower their risk of predation and nest predation, while using habitat to meet their energetic requirements and those of their chicks.