For prey, taking refuge from predators has obvious fitness benefits but may also be costly by impinging on time and effort available for feeding or attracting mates. The antipredator responses of refuge-seeking animals are therefore predicted to vary strategically depending on how threatening they perceive the risk. To test this, we studied the impacts of a simulated predatory threat on the antipredator responses of wild sandy prawn-gobies (Ctenogobiops feroculus) that co-inhabit burrows with Alpheus shrimp (family Alpheidae) in a mutualistic relationship. We exposed goby–shrimp pairs, repeatedly on three separate occasions, to an approaching threat and measured the antipredator behaviours of both partners. We found that re-emerging from the burrow took longer in large compared to small fish. Moreover, quicker re-emergence by small—but not medium or large-sized gobies—was associated with an earlier flight from the approaching threat (i.e. when the threat was still further away). Finally, the goby and shrimp sharing a burrow were matched in body size and their risk-taking behaviour was highly dependent on one another. The findings contribute to our understanding of how an individual's phenotype and perception of danger relates to its risk-taking strategy, and how mutualistic partners can have similar risk sensitivities.