Entrepreneurial Orientation (EO) is one of the most frequently applied constructs in entrepreneurship research. Yet, despite high and continuous interest in EO, it still lacks consensus on the theoretical and operational definition. Moreover, the dimensions constituting EO— innovativeness, proactiveness, and risk taking—are usually moderately or highly correlated among one another. To gain the most complete understanding of the consequences of entrepreneurial behavior in firms and to overcome threats resulting from the presence of substantially correlated dimensions, we suggest a process that relies on more explicit theorizing. We draw on recent discussions on EO that have demonstrated the benefits of distinguishing variance that is unique to each individual dimension as well as variance that is shared among dimensions. We extend this conceptualization around the internal structure of EO and assess the effect of the EO dimensions on an external variable, i.e., firm performance.