Animals, including humans, frequently make decisions involving risk or uncertainty. Different strategies in these decisions can be advantageous depending the circumstances. Short sleep duration seems to be associated with more risky decisions in humans. Animal models for risk-based decision making can increase mechanistic understanding, but very little data is available concerning the effects of sleep. We combined primary- and meta-research to explore the relationship between sleep and risk-based decision making in animals. Our first objective was to create an overview of the available animal models for risky decision making. We performed a systematic scoping review. Our searches in Pubmed and Psychinfo retrieved 712 references, of which 235 were included. Animal models for risk-based decision making have been described for rodents, non-human primates, birds, pigs and honey-bees. We discuss task designs and model validity. Our second objective was to apply this knowledge and perform a pilot study on the effect of sleep deprivation. We trained and tested male Wistar rats on a probability discounting task; a “safe” lever always resulted in 1 reward, a “risky” lever resulted in 4 or no rewards. Rats adapted their preferences to variations in reward probabilities (p < 0.001), but 12 h of sleep deprivation during the light phase did not clearly alter risk preference (p = 0.21).