In this article, we examine the conceptual importance of integrating risk and intersectionality theory for the study of how risk and various forms of inequality intersect and are mutually constitutive. We argue that an intersectional perspective can advance risk research by incorporating more effectively the role of such social categories as gender and race into the analysis of 'risk' as an empirical phenomenon. In doing so, the intersectional perspective articulates more clearly the connection between the social construction of risk and, on the one hand, the reproduction of new and complex social inequalities and, on the other, intersections of social class, gender, ethnicity and other social categorisations. We trace the intellectual division between risk and feminist-inspired intersectionality research, showing how these approaches can be aligned to study, for example, risk-based welfare and social policy. We use a discussion of general directions within welfare policy to illustrate how an intersectional perspective can be used to show the ways in which new governance strategies create new divisions and reproduce existing forms of social inequality. We conclude the article with a call for a new research agenda to integrate intersectional frameworks with risk theory in order to provide a more nuanced analysis of the relationship between social inequality and risk.