Background: Unprotected sexual activity predisposes adolescents to serious consequences later in life. This study aimed to identify the risks and protective factors associated with sexual activity in Malaysian adolescents aged 18 to 19 years. Methods: Data from a health screening program among adolescents conducted in 2010 were analyzed. A total of 21,438 unmarried adolescents responded to this topic using a self-administered non-anonymous validated questionnaire. Results: Among the participants, 54.5% were males and 45.5% were females. Ethnicities included 66.2% Malays, 20.7% Chinese, 7.2% Indians and 5.9% other ethnicities. Most of the respondents (97.1%) reported having a secondary level of education. The overall prevalence of sexual activity in older adolescents was 6.4% (8.9% among males and 3.6% among females). In a multivariate logistic regression model, sexual activity was positively associated with pornographic viewing (adjusted odds ratio [aOR]: 2.55; 95% confidence interval [CI]: 2.01-3.22), risky behavior (aOR: 2.62; 95%CI: 2.11-3.25), anti-social behavior (aOR: 2.44; 95%CI: 2.06-2.90), female (aOR: 2.24; 95%CI: 1.76-2.85), history of abuse (aOR: 1.81; 95%CI: 1.46-2.24), low religiosity (aOR: 1.71; 95%CI: 1.30-2.26) and masturbation (aOR: 1.34; 95%CI: 1.07-1.68). Conclusions: A comprehensive intervention program should be developed to target this at-risk group to prevent the spread of sexually transmitted diseases and criminal abortion.