We investigated the "immigrant paradox" phenomenon by examining differences in problem behavior engagement and exposure to risk factors across four adolescent groups: 1,157 first-generation, 1,498 second-generation, and 3,316 White and minority third or higher generations. Latent mean differences in problem behavior engagement (i.e., academic failure, aggression, and substance use) and risk factors (i.e., low socioeconomic status, poor family relationship, and low sense of school belonging) were associated with significant differences across adolescent groups. Results supported the generational status effect by demonstrating sequentially greater adolescent problem behavior engagement. However, the difference in exposure to risk factors across adolescent groups only partially supported the immigrant paradox. Further, the multiple group analysis of the relationships between risk factors and engagement in problem behaviors showed increased susceptibility among second generation immigrants for substance use, White natives for academic failure and substance use, and minority natives for physical aggression. Study findings have implications for understanding how the immigrant paradox leads to different adjustment patterns and problem behavior manifestations among immigrant and native adolescents.