In multi-ethnic societies, the subject of cultural diversity and its effects on various aspects of entrepreneurship is often a significant area of research. Related studies contribute to the formulation of organisational strategies, as well as national plans, which aim to address economic imbalances among the various ethnic groups. Unfortunately, most studies in developing countries are conceptual and, therefore, lack empirical evidence to support their arguments. Furthermore, they tend to combine both sexes in a single sample and make little attempt to understand the value and behavioural differences between male and female entrepreneurs. At the same time, more recent scholars of gender have called for greater research on contextual differences among groups of women. The current study attempts to fill some of these gaps in the literature by examining how one particular cultural dimension, namely uncertainty avoidance, affects the entrepreneurial behaviour of Malay and Chinese women entrepreneurs in Malaysia. Innovation is chosen as the measure of entrepreneurial behaviour as it is often considered critical for growth; in turn, uncertainty avoidance is linked to innovation due to its association with novelty, changes, ambiguity and risk-taking. Results of the study affirm that uncertainty avoidance is a significant determinant of innovativeness. However, the study also suggests that women entrepreneurs may not necessarily conform to the values traditionally expected of them.