This paper uses variation in victimization probabilities and past victimization between individuals living in the same community to shed new light on the costs of crime. I use data from the Mexican Family Life Survey for 2005 and look at the impact of within-community differences in victimization risk on changes in behaviour, wellbeing and social capital and trust. My results indicate that both past victimization and a high subjective victimization probability lead to adjustments of behaviour, including individuals arming themselves, lower well-being and mental health and lower stated trust in other individuals and a higher stated likelihood to commit crimes.