This study aimed to examine the relationship between externalizing behaviors, substance use, and sexual risk among adolescent girls and young women (AGYW) in Cape Town, South Africa, who experience social disadvantage characterized by poverty and school dropout. We analyzed baseline data from 500 AGYW in a cluster-randomized trial who had dropped out of school. Multivariate logistic regression models explored associations between self-reported criminal behaviors and other status offenses, heavy episodic drinking, polydrug use, and condomless sex. Engagement in status offenses was associated with heavy episodic drinking (OR = 3.56, 95% CI: 2.05–6.20), while crimes against other people were associated with polydrug use (OR = 1.65, 95% CI: 1.03–2.63). Drug-related illegal behavior was associated with polydrug use (OR = 7.78, 95% CI: 3.53–8.69) and reduced odds of condom use during last sexual episode, after adjusting for drug use (OR = 0.56, 95% CI: 4.00–5.15). As externalizing behaviors are prevalent among this sample of AGYW and associated with greater likelihood of problem substance use and condomless sex, interventions to improve the physical and mental well-being of AGYW should assess for and address engagement in criminal and status offenses.