Increase in physical activity (PA) might elevate risks for physical activity-related injuries (PARIs). This study aimed to investigate the incidence rate and risk factors for PARIs among secondary school students in Hong Kong. All eligible students from three secondary schools were invited to participate in the study from November to December 2014. Information on PARI occurrences in the past 12 months, PA participation, and sociodemographics was collected. Multivariate and hierarchical logistic regression models were performed to estimate the risk of potential factors for PARIs. In total, 1916 students in forms 1–6 (aged 14.3 ± 1.7 years) completed valid questionnaires, with an overall yearly PARI incidence rate of 32.1% (boys: 34.3%; girls: 29.3%). There were sex differences in the risk factors identified, except that family size was associated with PARIs for all participants. Longer duration and higher intensity of PA increased the risk for PARI occurrences in both sexes. In conclusion, PARIs were prevalent among secondary school students in Hong Kong, and different sexes had different PARI incidence rates and were influenced by different risk factors. There is an urgent call for effective sex-specific interventions to prevent PARIs in this population.