While a significant body of literature has explored the link between entrepreneurial orientation (EO) and firm performance, most research has been based in single country settings without taking into account cross-country differences. In this study, we investigate the relationship between en-trepreneurial orientation and firm performance and the moderating role of en-vironmental context in a developed and an emerging market. Our analysis of 104 Russian and 117 Finnish SMEs suggests that in a developed market con-text the EO dimensions of innovativeness, proactiveness and risk-taking are positively and directly associated with firm performance, while in an emerg-ing market the relationship is moderated by the dynamic and hostile external environment. The specifics of national culture and different stages of institu-tional development may explain the differences in the way entrepreneurial orientation dimensions relate to firm performance.