(1) Background: Several brands of electronic nicotine delivery systems (ENDS) carry voluntary health warning messages. This study examined how potential exposure to ENDS magazine ads with these voluntary health warnings were associated with the perceived harmfulness of ENDS. (2) Methods: Risk perception measures and self-reported exposure to ENDS ads were obtained from the 2014 Georgia State University (GSU) Tobacco Products and Risk Perceptions Survey of a nationally representative sample of U.S. adults. We examined the association between potential exposure to magazine ads with warnings and the perceived harms of ENDS relative to cigarettes, using binary logistic regressions and controlling for general ENDS ad exposure and socio-demographic characteristics. (3) Results: Potential exposure to ENDS magazine ads with warnings was associated with a lower probability of considering ENDS to be more or equally harmful compared to cigarettes, particularly among non-smokers (OR = 0.16; 95% CI: 0.04–0.77). In addition, ad exposure, ENDS use history, race/ethnicity, gender, education, and income were also associated with harm perceptions. (4) Conclusions: This study did not find evidence that magazine ads with warnings increased misperceptions that ENDS are equally or more harmful than cigarettes. With more ENDS advertisements carrying warnings, more research is needed to determine how the warnings in advertisements convey relative harm information to consumers and the public.