If mortgage borrowers default strategically, their future house price expectations should affect their present mortgage default decisions. Merging the Freddie Mac loan performance dataset with the Michigan Survey of Consumers data containing households’ subjective expectations, this paper provides direct empirical evidence on whether low (high) house price expectations will increase (decrease) default probabilities after controlling other factors. The results show strong evidence on borrowers in nonrecourse states for owner-occupied property with low debt-to-income ratio, borrowers for second home, and borrowers for investment property.