This paper tests the hypothesis that risk perception of those living near an incinerator has effects on their psychological well being. Data were collected in a 5-year longitudinal design during the monitoring study of the external environment of a waste incinerator (2797 interviews with 906 residents living at different distances from the site). Four waves of surveys took place before and four after the incinerator started working, including the assessment of psychological symptoms (anxiety, depression and stress), risk perception, attitudes towards the incinerator and environmental annoyance. Results show that (i) risk perception is more acute for residents living closer to the site, who also have a less favourable attitude; (ii) there is an habituation effect for those living closer to the incinerator: they now have less extreme attitudes and a lower estimation of risk; (iii) psychological symptoms are associated with socio-economic variables (sex and education), but also with environmental annoyance; (iv) for those living close to the site, risk perception and the interaction between risk perception and environmental annoyance significantly increase the prediction of psychological symptoms. A focus group was conducted to understand this result: risk perception amplifies the effects of annoyance, as it introduces a suggestion of danger to environmental changes.