Despite many decades of research that has highlighted all risk-taking sport activities as a means to satisfy sensation seeking needs (e.g., Zuckerman, 1979), recent research has challenged that view and has revealed that some high-risk activities provide opportunities for agentic emotion regulation during participation, and are not driven by sensation-seeking needs (e.g., Barlow, Woodman, & Hardy, 2013). Participation in high-risk sports is also associated with increased self-esteem (e.g., Aşçi, Demirhan, & Dinç, 2007). The aim of the present study was to investigate the link between the agentic and emotion regulation benefits of specific high-risk activities and any associated self-esteem benefits. We hypothesized that the emotion regulation and agency experiences in high-risk physical activities would mirror the elevated self-esteem derived from these activities. We examined high-risk activity (n = 84), low-risk activity (n = 65), and control (n = 45) groups and found that the experience of agentic emotion regulation was greater during participation for high-risk sport participants. High-risk sport participants also had less post-activity difficulty with emotion regulation and higher self-esteem. This study provides the first support that activities that require greater agentic emotion regulation during participation also lead to elevated self-esteem. Basic psychological needs satisfaction did not account for the differences between groups, suggesting that people have other needs (e.g., the need to self-regulate) that are not incorporated into self-determination theory.