BACKGROUND: Depression is common among adolescents, and suicide is the third leading cause of death among 15- to 19-year-olds. Although both health problems have been associated with drug use and early sexual intercourse, the relationship has not been systematically studied in a nationally representative sample. METHODS: Sixteen patterns of combined sex and drug use behaviors were obtained using cluster analysis of responses to Wave I of the National Longitudinal Study of Adolescent Health conducted from September 1994 through December 1995. Bivariate and multivariate analyses tested correlations between behavior patterns and current depression, serious suicidal ideation, and previous suicide attempt, controlling for gender, race/ethnicity, Hispanic ethnicity, family structure, and parent education. RESULTS: Compared to youth who abstain from risk behaviors, involvement in any drinking, smoking, and/or sexual activity was associated with significantly increased odds of depression, suicidal ideation, and suicide attempts. Odds ratios were highest among youth who engaged in illegal drug use. There were few differences between boys and girls who abstain from sex and drug behaviors. Girls were less likely than boys to engage in high-risk behaviors, but those who did tended to be more vulnerable to depression, suicidal ideation, and suicide attempt. CONCLUSIONS: Teens engaging in risk behaviors are at increased odds for depression, suicidal ideation, and suicide attempts. Although causal direction has not been established, involvement in any sex or drug use is cause for concern, and should be a clinical indication for mental health screening for girls; both boys and girls should be screened if engaging in any marijuana or illegal drug use.