The paper investigates a relationship between the entrepreneurial orientation (EO) dimensions — innovativeness, proactiveness, and readiness to risk — and firm performance of Russian SMEs. We assess EO effects on firm performance in the context of an emerging market taking into account environmental contingencies. Our findings are underpinned by the results of the survey which covered managers of 104 Russian small and medium firms. The data were processed by the structural equation modeling. The analysis has revealed that EO structure in the context of Russian market differs from the traditional three-dimensional conceptualization of entrepreneurial orientation, typical to western countries. Emerging markets i.a. Russian are characterized by the two-dimensional EO structure: innovativeness and proactiveness are perceived as a single dimension, while the and readiness to risk is a separate component. Moreover, a positive relationship between the united dimension of entrepreneurial orientation – innovativeness