The present study examined inter-ethnic, rural–urban, and sex differences in self-assessed intelligence (SAI) in a Malaysian general population sample. In total, 633 individuals varying in rural or urban location, ethnicity (Malay, Kadazan, and Bajau), and sex (women versus men) provided their self-assessed overall intelligence and ten multiple intelligences. In general, results of a series of univariate analyses of variance showed that urban participants tended to have higher SAI than their rural counterparts and that men reported higher SAI than women. There was also a significant main effect of ethnicity, with Malays generally having lower estimates than Bajaus and Kadazans, respectively. There were few significant interactions between ethnicity, urban–rural location, and sex. These data present the first concurrent investigation of ethnic, rural–urban, and sex differences in SAI, and are discussed in relation to previous theoretical discussions of SAI.