Weight-related status has been associated with the physical and psychological health of adolescents. This cross-sectional study evaluated three different kinds of weight-related statuses (Body Mass Index (BMI), weight self-perception and weight teasing from others) among Chinese adolescents and identified their associations with health risk behaviors (lack of healthy dietary behavior, unhealthy dietary behavior, binge eating behavior, lack of physical activity (PA), sedentary behaviors (SB) and sleep disturbance). A stratified random cluster sampling method was used to select 10,070 students aged 11–18 years old from schools in Shanghai. Self-reported questionnaires were collected, weight-related statuses were divided into three categories and six specific health risk behaviors were classified into two groups: positive or negative. Overall, 27.82% of the adolescents were classified as being overweight and obese (35.61% of boys and 18.21% of girls), 43.45% perceived themselves as too heavy and 30.46% experienced weight teasing in the past. Among overweight or obese participants, 50.55% have been teased about their weight, and 77.48% perceived themselves as too heavy. Weight perception and weight teasing were significantly associated with health risk behaviors rather than the actual body weight status based on BMI, especially regarding binge eating behavior (body weight status (BMI): p > 0.05, underweight perception: OR = 1.18, 95%CI 1.03–1.34; weight teasing for more than once a year: OR = 2.00, 95%CI 1.76–2.27). In addition, weight perception and weight teasing were significantly associated with health risk behaviors, mainly in normal and overweight/obese groups but not in underweight groups. Weight teasing and weight self-perception play an independent and stronger role than actual body weight in the health behaviors of adolescents. This calls for more attention and intervention to reduce peer bullying and stigmas on weight among adolescents.