Knowledge of how predation risk affects population survivorship is important for understanding predator–prey relationships and designing effective conservation strategies. The Allee effect (inverse density dependence) can be generated when antipredator strategies become inefficient in small groups of prey, thus making the population more susceptible to catastrophic population collapse and extinction. Many populations of desert bighorn sheep (Ovis canadensis) are declining, and predation is, in many cases, a major mortality factor. We studied desert bighorns at the Red Rock Wildlife Area, New Mexico, USA, to assess predation risk in different group types (ram, ewe, mixed) and age–sex classes. Multiple regression analysis revealed that predation risk (as estimated by individual vigilance) increased with smaller group size and greater inter-individual distance for all bighorns, with groups of <5 individuals subject to the greatest risk. Although rugged terrain is thought to provide refuge from predators, habitat ruggedness did not influence vigilance. The biggest males in ram groups experienced the greatest predation risk in that they were in the smallest groups, were most likely to be solitary, and were spaced farther apart from conspecifics. Although big rams spent twice as much time vigilant as other age–sex classes, collective alertness was lowest for ram groups. The conclusion that big rams were most at risk from predation was partially supported by the recent predation history of the population and previous studies in which mountain lion (Felis concolor) kills were biased toward rams. We discuss the management implications of these results for small populations subject to Allee effects, including reintroduction and/or translocation practices and selective removal of problem predators. We suggest that the use of multivariate techniques to simultaneously explore the influence of multiple factors and the use of vigilance as a correlate of predation risk would be useful management tools for assessing seasonal and class-specific vulnerability to predation.