The study examined the Poverty Probability Index (PPI) of members of Self-help Groups and non-members in Ughelli North and Ughelli South Local Government Areas of Delta State, Nigeria. Data were obtained through structured questionnaire administered to 152 and 144 self-group members and non-members respectively. Descriptive and Inferential Statistics were used in analyzing the data. Using the Poverty Probability Index, we estimate 27.4 % of the households are under the $1.90 PPP (2011) poverty line. The PPI analysis shows that self-help member households do not suffer from a higher incidence of poverty than non-self-help members. There was no statistically significant difference in poverty rates between the two groups, suggesting that poverty is more a “rural dweller phenomenon”, than a non-self-help group membership’s issue. Furthermore, the PPI analysis shows that female-headed households do suffer from slightly higher poverty incidence than male-headed households, but the difference was not statistically significant in all poverty lines, except for National Poverty (150%) and National Poverty (200%) lines at 10% significance level. Overall, self-help members are, like other rural households, fairly poor. However, we find that poverty levels among self-help members are less severe than projected by other researchers. We suggest that development agencies seeking to use self-help groups as platform to target rural dwellers towards poverty alleviation should carry out baseline surveys to obtain data on their poverty status and carry out surveys after a given period of intervention to assess progress out of poverty over time. In this way, the poor living below certain poverty lines could be identified and reached specially to make particular interventions more effective, since lifting people out of poverty requires knowing who is actually poor.