This study examines transitions in schooling, sexual activity, and pregnancy for adolescents and young adults in urban South Africa. The study analyzes data from the Cape Area Panel Study (CAPS), a recently collected longitudinal survey of young adults and their families in metropolitan Cape Town. South African youth have high school enrollment rates through their teenage years, combined with relatively early sexual initiation, with most young people becoming sexually active while they are enrolled in school. Teen pregnancy rates are also relatively high, with almost all teen pregnancies being non-marital. We find that teen pregnancy is not entirely inconsistent with continued schooling, especially for African (black) women. Over 50% of African women who had a pregnancy at age 16 or 17 were enrolled in school the following year. We estimate probit regressions to identify the impact of individual and household characteristics on sexual debut, pregnancy, and school dropout between 2002 and 2005. We find that male and female students who performed better on a literacy and numeracy exam administered in 2002 were less likely to become sexually active and less likely to drop out of school by 2005. Surprisingly, 14-16 year-olds who had completed more grades in school in 2002, conditional on their age, were more likely to sexually debut by 2005, a potential indicator of peer effects resulting from the wide dispersion in age-for-grade in South African schools.