The phrase originates from medieval chivalric romances, where noble heroes rescue noblewomen from peril. Knights used to be the saviors of damsels in distress in old stories.
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Gender Roles
The phrase often implies traditional gender roles, where men are rescuers and women are passive victims. He fancied himself a gallant knight saving the damsel in distress.
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Stereotype Challenge
Modern use may challenge stereotypes, making the 'damsel' a strong character, or using the concept ironically. She laughed at the idea of being a damsel in distress; she could handle the situation herself.