Auto-biological beliefs—beliefs about one’s own biology—are an understudied component of personal identity. Research participants who are led to believe they are biologically vulnerable to affective disorders report more symptoms and less ability to control their mood; however, little is known about the impact of self-originating beliefs about risk for psychopathology, and whether such beliefs correspond to empirically derived estimates of actual vulnerability. Participants in a neuroimaging study (n = 1256) completed self-report measures of affective symptoms, perceived stress, and neuroticism, and an emotional face processing task in the scanner designed to elicit threat responses from the amygdala. A subsample (n = 63) additionally rated their own perceived neural response to threat (i.e., amygdala activity) compared to peers. Self-ratings of neural threat response were uncorrelated with actual threat-related amygdala activity measured via BOLD fMRI. However, self-ratings predicted subjective distress across a variety of self-report measures. In contrast, in the full sample, threat-related amygdala activity was uncorrelated with self-report measures of affective distress. These findings suggest that beliefs about one’s own biological threat response—while unrelated to measured neural activation—may be informative indicators of psychological functioning.