AbstractSports participation, physical activity, and friendship quality are theorized to have protective effects on the developmental emergence of substance use and self-harm behavior in adolescence, but existing research has been mixed. This ambiguity could reflect, in part, the potential for confounding of observed associations by genetic and environmental factors, which previous research has been unable to rigorously rule out. We used data from the prospective, population-based Child and Adolescent Twin Study in Sweden (n = 18,234 born 1994–2001) and applied a co-twin control design to account for potential genetic and environmental confounding of sports participation, physical activity, and friendship quality (assessed at age 15) as presumed protective factors for adolescent substance use and self-harm behavior (assessed at age 18). While confidence intervals widened to include the null in numerous co-twin control analyses adjusting for childhood psychopathology, parent-reported sports participation and twin-reported positive friendship quality were associated with increased odds of alcohol problems and nicotine use. However, parent-reported sports participation, twin-reported physical activity, and twin-reported friendship quality were associated with decreased odds of self-harm behavior. The findings provide a more nuanced understanding of the risks and benefits of putative protective factors for risky behaviors that emerge during adolescence.