OBJECTIVE: To analyze the relationships between sexual behavior and risk factors to physical and mental health in adolescents. METHODS: Study of 3,195 pupils aged 15 to 19 in secondary education, in public and private schools in 10 state capitals in Brazil between 2007 and 2008. Multi-stage (schools and pupils) cluster sampling was used in each city and public and private educational network. All of the students selected completed a questionnaire on the following items: socioeconomic and demographic data; sexual behavior; having sex with those of the same sex, the opposite sex, or both; alcohol and cannabis use; using condoms; traumatic sexual experiences as a child or adolescent; suicidal thoughts. The analysis included describing frequencies, Chi-square test, analysis of multiple and cluster correspondence. Responses to an open ended question in which the adolescent expressed general comments about themselves and their lives were qualitatively analyzed using content analysis. RESULTS: Around 3.0% of adolescents reported homosexual or bisexual behavior, with no difference according to sex, age, skin color, social status family structure or educational network. Adolescents with homosexual/ bisexual sexual behavior, compared to their heterosexual peers, reported: (p < 0.05): getting drunk (18.7% and 10.5%, respectively), frequent cannabis use (6.1% and 2.1%, respectively), suicidal thoughts (42.5% and 18.7%, respectively), and having been the victim of sexual violence (11.7% and 1.5%; respectively). Adolescents with homosexual/bisexual sexual behavior reported that they used condoms less frequently (74.2%) than their heterosexual peers (48.6%, p < 0.001). In the correspondence analysis, three groups were found, one composed of adolescents with homosexual/bisexual behavior and experiencing risk factors; suffering sexual violence, never using a condom, suicidal thoughts, frequent cannabis use; another composed of occasional cannabis and condom users, who got drunk frequently, and adolescents with heterosexual behavior and none of the risk factors investigated. More of the risk factors were found in adolescents with homosexual/bisexual behavior compared with those with heterosexual behavior. Adolescents with homosexual/bisexual sexual behavior were more likely to talk about their positive personal experiences and negative relationship experiences that their heterosexual peers, but spoke less about religion. CONCLUSIONS: Not only should this issue be studied in more detail, but preventative actions aimed at adolescents with homosexual/bisexual behavior should be widened.