In the present study, we investigated the much debated "happiness gap" between conservatives and liberals, approaching the issue from a multilevel person x context perspective. More specifically, we investigated whether this relationship depends on country-level threat. We used individual-level data for right-wing attitudes and psychological well-being from 94 large, representative samples collected worldwide (total N = 137,890) and objective indicators of country-level threat as the contextual variable. Our results suggest that, especially in countries characterized by high levels of threat, individuals with right-wing attitudes experienced greater well-being than individuals with left-wing attitudes. In countries with a low level of threat, this relationship was considerably weaker or even absent. Our findings corroborate the view that right-wing attitudes may serve a self-protective function, helping individuals to manage and cope with threat.