The occurrence of multiple risk behaviors among adolescents imposes challenges in the context of public policies of health, particularly in low- and middle-income countries. Evidence on the conditions leading to the exposure to and adoption of multiple risk behaviors allows the identification of vulnerable groups of adolescents, and may support the proposition of targeted strategies directed to individuals at risk. Therefore, the aim of this study was to perform a quantitative analysis to identify recent trends in the exposure to and adoption of multiple health risk behaviors among Brazilian adolescents, highlighting individual-, household-, and school-level characteristics linked to inequalities among social groups. The analysis was based on cross-sectional data from the National Student Health Survey (PeNSE), conducted by the Brazilian Institute for Geography and Statistics in 2009, 2012, 2015, and 2019. The trends in the occurrence of multiple risk behaviors among adolescents were estimated according to social strata, allowing the calculation of concentration indexes and their disaggregation into major determinants of inequalities in the exposure and adoption of risk behaviors. The analyses were conducted using a complex survey design to allow representativeness at the population level. The results showed a rise in the incidence of multiple risk behaviors among youngsters in Brazil from 2009 to 2019. Factors influencing inequalities in the exposure to multiple risk behaviors were socioeconomic status and the characteristics of the household and school environments, whilst the adoption of multiple risk behaviors was also influenced by early exposure to multiple risk behaviors. Furthermore, trends in inequalities in the exposure to and adoption of multiple risk behaviors showed an intensification from 2009 to 2019, being initially concentrated among wealthier adolescents, followed by a transition to higher incidence in the lower socioeconomic strata in 2012 and 2015, respectively. The findings underscore the role of support systems for adolescents at risk within the familial and school contexts, whereas strategies of public policies of health based on the strengthening of community ties may require improvements to tackle socioeconomic inequalities in the occurrence of risk behaviors among youngsters.