The objective of this paper is to analyse the effect that operating leverage exerts on the cost of debt of agri-food firms in Europe, both in isolation and indirectly through its other risk factors. We use panel data made up of 18,360 firms from 2009 to 2016 (146,880 observations). The main contribution is the study of the cost of external financing as a function of the cost structure because it directly influences the competitiveness of companies in a key sector of the European economy. We also study the country effect, taking into account the different policies and practices regarding the assumption of risks by firms. The results obtained confirm that operating leverage or cost structure, in addition to affecting cost of debt, also affects the relationship between that cost and other sources of risk. More specifically, indebtedness, size, specificity and age all affect cost of debt to a greater or lesser extent, depending on the level of operating leverage of the company.