Recent evidence suggests that the burden of new HIV infections in developing countries is concentrated among young people and females. Even with knowledge of how to protect oneself from infection, such information may not always be usable in daily situations of economic and social disadvantage that characterize the lives of many young people and women in poor countries. Using household survey data collected in 2001, this study investigates how relative socioeconomic status influences the sexual behaviors of young women and men aged 14–24 years in KwaZulu-Natal Province, South Africa—an environment characterized by high HIV prevalence and high rates of poverty and inequality. Relative economic disadvantage is found to significantly increase the likelihood of a variety of unsafe sexual behaviors and experiences. Low relative socioeconomic status increases female odds of exchanged and forced sex and multiple sexual partners. It reduces female age at sexual debut and condom use at last sex, and male and female chances of discussing condom use or ways to avoid HIV and pregnancy with recent sexual partners. Low socioeconomic status has larger and more significant effects on female than on male unsafe sexual behaviors; it also raises female risk of early pregnancy. Poorer young people, especially females, also have significantly lower access to media sources for family planning information. Controlling for wealth and other factors, orphanhood confers added risk for unsafe sexual behaviors: female and male orphans debut earlier sexually and are less likely to discuss condom use and ways to avoid pregnancy with recent sexual partners. Among the paternally orphaned, females have older sexual partners and are at higher risk for early pregnancy, while males have lower odds of secondary abstinence. Without sufficient attention in the design and placement of HIV prevention programs to the economic and social conditions in which individuals live—conditions that can make them more or less vulnerable to experiences and behaviors that may lead to infection— the potential effectiveness of the global response to HIV/AIDS is sacrificed.