Previous studies have indicated that rhesus monkeys (Macaca mulatta) but not capuchin monkeys (Cebus apella) respond to difficult or ambiguous situations by choosing not to respond or by seeking more information. Here we assessed whether a task with very low chance accuracy could diminish this species difference, presumably indicating that capuchins—compared to macaques—are less risk averse as opposed to less sensitive to signals of uncertainty. Monkeys searched for the largest of 6 stimuli on a computer screen. Trial difficulty was varied, and monkeys could choose to opt out of any trial. All rhesus monkeys, including some with no prior use of the uncertainty response, selectively avoided the most difficult trials. The majority of capuchins sometimes made uncertainty responses, but at lower rates than rhesus monkeys. Nonetheless, the presence of some adaptive uncertainty responding suggests that capuchins also experience uncertainty and can respond to it, though with less proficiency than macaque monkeys.