Associations among six different domains of self-esteem (peers, school, family, sports/athletics, body image, and global self-worth) and risk behaviors related to substance use and suicidality were investigated in a sample of South African adolescents. Students enrolled in Grades 8 and 11 at independent secondary schools in Cape Town (N = 116) completed the Self-Esteem Questionnaire (SEQ) and a questionnaire that asked about their participation in a range of risk behaviors. Logistic regression analyses indicated that particular domains of self-esteem were differentially associated with indicators of alcohol, cigarette and drug use and suicidal ideation or behaviors in adolescents. Family self-esteem showed the strongest overall pattern of associations with the risk behaviors. Overall, the findings of this study suggest that interventions which aim to protect adolescents from engaging in risk behaviors by increasing their self-esteem are likely to be most effective and cost-efficient if they are aimed at the family and school domains.