Poverty and the willingness to take risks are two prominent factors for explaining high-risk migration. Yet, studies have shown that poor people are more likely to be risk-averse, meaning the former two explanations would be mutually exclusive. I resolve this paradox by arguing that poverty distorts individuals' migration expectations, thus increasing their propensity to migrate even under risk aversion. To test this hypothesis, I apply panel data on more than 10,000 people living in The Gambia, one of the world's poorest countries, from which migrants depart on an often deadly journey across the Sahara Desert and the Mediterranean Sea. Respondents were interviewed in 2019 and re-contacted over the course of a year, allowing for measuring not only migration intentions but also migration behavior. The results show that both relative poverty and general risk tolerance predict migration. Poverty, however, is also associated with over-confidence about the journey. Put differently, hardship drives even risk-averse individuals into high-risk migration, casting doubt on the efficacy of many policies aimed at deterring flows.