The purposes of this study were to examine the consumer beliefs on the wrongness and occurrence of unethical behaviors in retail settings, to examine the differences in unethical beliefs by consumer characteristics, and to examine the effects of anomie on unethical beliefs. A total of 609 questionnaires collected from a consumer survey were analyzed. Results revealed that respondents tended to perceive illegal activities as the most unethical and the least prevalent behaviors and downloading intellectual properties as the least unethical and the most prevalent behaviors. There were differences by age, marital status, occupation, and education in the four dimensions of unethical beliefs including actively benefiting from illegal/deceiving activities, passively benefiting at the expense of the seller, no harm/no foul, and common but questionable actions. Partial differences were observed by shopping frequency and return experience. Valuelessness of anomie affected actively benefiting from illegal/deceiving activities and no harm/no foul.