The album received a mixed response from music critics. AllMusic's reviewer Steve Huey gave a sympathetic, if not exactly favorable, review of the remixed and remastered 2004 pressing of Risk. Huey stated that the album had "aged gracefully," compared to Metallica's Load (1996) and ReLoad (1997). However, he did note that the band had lost their edge on the album. Entertainment Weekly reviewer Laura Morgan compared "Insomnia" to Broken-era Nine Inch Nails and gave the album a B−, though she criticized Mustaine's vocal performance on the album. The New Rolling Stone Album Guide gave the album three stars out of five and noted that the album "had its moments". Mike Stagno of Sputnikmusic, taking into account that the album has a different appeal, was somewhat positive in his review. Stagno cited the first few tracks as the album's "harder edge". However, he noted that some of the following softer tracks were "standout tracks" as well. Stagno did note, however, that some of the emotion on the album was "cheesy". Amy Sciarretto of CMJ New Music Report noted that Risk marked another significant change in Megadeth's sound and called it a "logical stylistic progression" from their previous album. According to her, Mustaine's "biting lyrics" and "power riffs" were toned down, finding Megadeth "traveling out of thrash metal territory". Steven Wells of NME panned the album, giving it a 0/10 score and saying that the album was the American equivalent of the retro stylings of Travis and Kula Shaker, as well as calling the album "corporate mock rock".
