This paper uses a new survey to explore subjective earnings risk over the life cycle and shows that it is closely related to subjective risk in job transitions. We introduce the Copenhagen Life Panel to measure respondents’ subjective expectations, which can be linked to Danish administrative data. The novelty of the survey is that we measure uncertainty in job transitions and earnings conditional on staying with the same employer, quitting, and being laid off. We then aggregate these conditional responses to construct a complete distribution of next year’s income for each respondent, which takes into account all the possible transitions and earnings realizations that can occur. We find that on average within age groups, our respondents’ subjective income distributions exhibit less variance and are not as negatively skewed as the realized distribution of income growth in the administrative data. We also find a great amount of heterogeneity in these subjective distributions, mainly driven by the subjective probabilities of job transitions. Lastly, we compare our measured beliefs with the beliefs that arise from a canonical life-cycle search model. We find that workers appear to have more knowledge about their future job prospects compared to what is implied by the model.