Adolescent sexual practices have been widely investigated as experiences that pose potential risks for health. The present study, therefore, aimed to investigate individual and contextual factors associated with sexual initiation, sexual activity before the age of 15 years, and inconsistent condom use. A total of 253 adolescents aged 11 to 18 years, from public schools in the capital and metropolitan region of Rio Grande do Sul, were interviewed. They answered a questionnaire covering sociodemographic data and sexual behaviors and completed the Perception of Family Support Inventory. The data were analyzed through descriptive and inferential statistics and it was verified that both individual (higher level of education, school repetition, and use of licit and illicit substances) and contextual factors (perception of less affective-consistent support and greater autonomy from the family) were related to sexual initiation among adolescents. The associations found for the groups with sexual initiation before and after 15 years of age were similar, indicating that age did not increase the exposure to risks. Inconsistent condom use was related to the use of tobacco and other drugs. Taken together, the results indicated the co-occurrence of risk behaviors, such as sexual risks and substance abuse, as well as highlighting some family characteristics as protective factors.