<p>Sovereign debt crises can be self-fulfilling, as borrowing rates rise in expectation of default, thereby increasing the likelihood of default. To determine whether the Portuguese sovereign debt crisis of 2010–2013 was primarily driven by self-fulfilling expectations or macroeconomic fundamentals, this paper brings to the data a multiple equilibria model in which default expectations can influence the probability of default independently of fundamentals. To do this, we estimate the probability of default for the period 2000–2020, covering both tranquil and crisis episodes, using a Markov-switching regime framework, following the Jeanne and Masson (J Int Econ 50(2):327–350, 2000. <a href="https://doi.org/10.1016/S0022-1996(99)00007-0">https://doi.org/10.1016/S0022-1996(99)00007-0</a>) approach. The results reveal: (i) the presence of two distinct regimes—tranquil and crisis—with significantly different default probabilities; (ii) the transition from a low to a high default probability regime is unrelated to macroeconomic fundamentals, highlighting the role of expectations, and suggesting that the debt crisis was partially self-fulfilling; and (iii) the default probability is jointly determined by fundamentals (debt-to-GDP, growth, international risk aversion), and market expectations, with their relative influence depending on whether the economy is in a tranquil or crisis regime.</p>