This study aimed to identify risk and protective factors associated with sexual activity among Malaysian adolescents. Data from the World Health Organization Global School-based Student Health Survey 2012 were analyzed. A total of 23 645 students aged 12 to 17 years responded using self-administered validated questionnaire. The overall prevalence of reported ever-had sex was 8.3%. Logistic regression analysis revealed that ever-had sex was positively significantly associated with ever-used drugs (adjusted odds ratio [aOR] = 7.71; 95% confidence interval [CI] = 6.51-9.13), and to a lesser extent, ever-smoked (aOR = 1.83; 95% CI = 1.62-2.07) and ever-consumed alcohol (aOR = 1.33; 95% CI = 1.15-2.53). Protective factors against ever-had sex were having a close friend (aOR = 0.63; 95% CI = 0.50-0.81), parental bonding (aOR = 0.72; 95% CI = 0.65-0.81), supportive peers (aOR = 0.77; 95% CI = 0.69-0.86), and parental connectedness (aOR = 0.88; 95% CI = 0.78-0.99). Although the prevalence of sexual activity among school-going adolescents in Malaysia is relatively low, identifying the risk and protective factors is crucial toward developing an integrated multiple approach to preventing sexual-related problems.