This article explains Internet users’ self-help activities in protecting their privacy online using structural equation modeling. Based on a representative survey of Swiss Internet users, it reveals past experiences with privacy breaches as a strong predictor of current protective behavior. Further, in line with the ‘privacy paradox’ argument, caring about privacy (privacy attitudes) alone does not necessarily result in substantial self-protection. Most strikingly, however, general Internet skills are key in explaining users’ privacy behavior. These skills enable users to reduce risks of privacy loss while obtaining the benefits from online activities that increasingly depend on the revelation of personal data. Consequently, Internet skills are an essential starting point for public policies regarding users’ self-help in privacy protection.