People who think more about whether they are right have more cells in an area of the brain known as the frontal lobes.
UK scientists, writing in Science, looked at how brain size varied depending on how much people thought about decisions.
But a nationwide survey recently found that some people think too much about life.
These people have poorer memories, and they may also be depressed.
Stephen Fleming, a member of the University College London (UCL) team that carried out the research, said: "Imagine you're on a game show such as 'Who Wants to Be a Millionaire' and you're uncertain of your answer. You can use that knowledge to ask the audience, ask for help."
The London group asked 32 volunteers to make difficult decisions. They had to look at two very similar black and grey pictures and say which one had a lighter spot.
They then had to say just how sure they were of their answer, on a scale of one to six. Although it was hard to tell the difference, the pictures were adjusted to make sure that no-one found the task harder than anyone else.
People who were more sure of their answer had more brain cells in the front-most part of the brain - known as the anterior prefrontal cortex.
This part of the brain has been linked to many brain and mental disorders, including autism. Previous studies have looked at how this area functions while people make real time decisions, but not at differences between individuals.
The study is the first to show that there are physical differences between people with regard to how big this area is. These size differences relate to how much they think about their own decisions.
The researchers hope that learning more about these types of differences between people may help those with mental illness.
Co-author Dr Rimona Weil, from UCL's Institute of Cognitive Neuroscience, said: "I think it has very important implications for patients with mental ill health who perhaps don't have as much insight into their own disease."
She added that they hope they may be able to improve patients' ability to recognise that they have an illness and to remember to take their medication.
However, thinking a lot about your own thoughts may not be all good.
Cognitive psychologist Dr Tracy Alloway from the University of Stirling, who was not involved in the latest study, said that some people have a tendency to brood too much and this leads to a risk of depression.
More than 1,000 people took part in a nationwide study linking one type of memory - called "working memory" - to mental health.
Working memory involves the ability to remember pieces of information for a short time, but also while you are remembering them, to do something with them.
For example, you might have to keep hold of information about where you saw shapes and colours - and also answer questions on what they looked like. Dr Alloway commented: "I like to describe it as your brain's Post-It note."
Those with poorer working memory, the 10-15% of people who could only remember about two things, were more likely to mull over things and brood too much.
Both groups presented their findings at the British Science Festival, held this year at the University of Aston in Birmingham.