Background: Making tobacco products associated with lower risks available to smokers who would otherwise continue smoking is recognized as an important strategy towards addressing smoking-related harm. Predicting use behavior is an important major component of product risk assessment. In this context, risk perception is a possible factor driving tobacco product uptake and use. As prior to market launch real-world actual product use cannot be observed, assessing risk perception can provide predictive information. Considering the lack of suitable validated self-report instruments, the development of a new instrument was undertaken to quantify perceived risks of tobacco and nicotine-containing products by adult smokers, former smokers and never-smokers. Methods: Initial items were constructed based on a literature review, focus groups and expert opinion. Data for scale formation and assessment were obtained through two successive US-based web surveys (n = 2020 and 1640 completers, respectively). Psychometric evaluation was based on Rasch Measurement Theory and Classical Test Theory. Results: Psychometric evaluation supported the formation of an 18-item Perceived Health Risk scale and a 7-item Perceived Addiction Risk scale: item response option thresholds were ordered correctly for all items; item locations in each scale were spread out (coverage range 75–87%); scale reliability was supported by high person separation indices > 0.93, Cronbach’s alpha > 0.98 and Corrected Item-Total Correlations > 0.88; and no differential item functioning was present. Construct validity evaluations met expectations through inter-scale correlations and findings from known-group comparisons. Conclusions: The Perceived Risk Instrument is a psychometrically robust instrument applicable for general and personal risk perception measurement, for use in different types of products (including cigarettes, nicotine replacement therapy, potential Modified Risk Tobacco Products), and for different smoking status groups (i.e., current smokers with and without intention to quit, former smokers, never smokers).