Jessor et al.’s (2003) model of relationships among protective factors (models protection, controls protection, support protection), risk factors (models risk, opportunity risk, vulnerability risk), and adolescent risk behavior (delinquency, problem drinking, marijuana use, tobacco use, sexual activity) was investigated in adolescent samples of both genders from Italy (n = 488, M age = 17 years) and the Netherlands (n = 480, M age = 17 years). After accounting for sociodemographic variables, risk and protective factors and their interactions accounted for 46–52% of additional variation in risk behavior. Although levels of risk, protection, and risk behavior differed by country and by sex, the association of risk and protective factors with risk behavior was similar for Italian and Dutch youth and for boys and girls. Controls protection (e.g., intolerance of deviancy, parental control and disapproval, friends’ disapproval) and models of risk (family and peer models of risk behavior) had the strongest associations with adjustment. Additionally, controls protection moderated the influence of models risk among the Italians while support protection buffered vulnerability risk among the Dutch. These data support the utility of the explanatory model in these national contexts.