There is general sentiment that insecurity is on the rise across countries. However, some groups are likely to be more vulnerable to shocks than others, indicating that we may not expect insecurity to be equally distributed across the population. In this article, we examine how subjective insecurity is distributed and then turn to the question of whether welfare states can reduce potential gaps in subjective insecurity. Using multilevel models with cross-national data for about 35,000 individuals in twenty advanced democracies from two waves of the OECD's Risks That Matter (RTM) survey (2020 and 2022), we find that the poor are more insecure and that, in general, welfare state schemes have the capacity to reduce overall subjective insecurity. However, welfare state interventions do not meaningfully reduce the subjective security gap between income groups. With regard to the subjective insecurity gap between women and men, welfare policies similarly have only a very small effect. We complement this with national, over-time survey data from Denmark. We not only see that subjective insecurity has increased over time, but also that there is a growing subjective security gap, echoing the cross-national findings.