The link between economic empowerment and high risky sexual behaviour has been debated by different scholars in various settings. However, no consistently clear connection between poverty and lack of education has been found regarding engagement in risky sexual behaviour. Also, not much research has been done to examine the strength of these relationships for adolescents and women. The objectives of this study were to assess the relationship between female economic empowerment and risky sexual behaviour in Africa. Using the latest Demographic and Health Surveys Data (DHS 2011–2014) from Gabon, Mozambique, Sierra Leone and Zambia, univariate, bivariate and multivariate analysis was done on women aged 15 to 49 to examine the patterns of and differences in the association between women’s economic empowerment and risky sexual behaviour. The findings both at community and individual level indicate that empowered women (higher education and wealth household) and adolescents aged 15 to 19 are highly significantly associated with engagement in high risky behaviour. The result of this study stresses the need to look further than individual factors in the quest to resolve risky sexual behaviour in Africa. The interrelations between female economic empowerment and engagement in risky sexual behaviour are more complicated and less straightforward than usually presumed.