After briefly reviewing some of the empirical and philosophical literature suggesting that there may be an adaptive role for delusion formation, we discuss the results of a recent study consisting of in-depth interviews with people experiencing delusions. We analyse three such cases in terms of (1) the circumstances preceding the development of the delusion; (2) the effects of the development of the delusion on the person’s situation; and (3) the potential protective nature of the delusional belief as seen from the first-person perspective. We argue that the development of the delusional belief can play a short-term protective function and we reflect on the implications that this might have for our understanding of psychotic symptoms, for the stigma associated with mental health issues, and for treatment options.