Four studies were conducted with two primary objectives: (a) to conceptualize and measure mental toughness from a behavioral perspective and (b) to apply relevant personality theory to the examination of between‐person differences in mentally tough behavior. Studies 1 (N = 305 participants from a range of different sports) and 2 (N = 110 high‐level cricketers) focused on the development of an informant‐rated mental toughness questionnaire that assessed individual differences in ability to maintain or enhance performance under pressure from a wide range of stressors. Studies 3 (N = 214) and 4 (N = 196) examined the relationship between reinforcement sensitivities and mentally tough behavior in high‐level cricketers. The highest levels of mental toughness reported by coaches occurred when cricketers were sensitive to punishment and insensitive to reward. Study 4 suggested that such players are predisposed to identify threatening stimuli early, which gives them the best possible opportunity to prepare an effective response to the pressurized environments they encounter. The findings show that high‐level cricketers who are punishment sensitive, but not reward sensitive, detect threat early and can maintain goal‐directed behavior under pressure from a range of different stressors.