Background: Adolescence is a crucial time in the development of young people’s identity, and sexuality is a key issue. Comprehensive sex education provides the knowledge and skills to help adolescents protect their sexual and reproductive health and rights. Policies on sex education in secondary schools are highly influential in the development of quality programmes that support comprehensive sex education. The aim of this study was to explore, describe and understand adolescents’ experiences of sex education. Methods: A qualitative study based on Gadamer’s phenomenology was used. Two focus groups and four in-depth interviews were conducted with 12 private school students, followed by inductive data analysis using ATLAS.ti software 9.0. Results: Two main themes were identified in the analysis: (1) sex education is a challenge for secondary schools and (2) student expectations of sex education. Conclusion: It is essential for adolescents to have access to comprehensive sex education that is adapted to the different stages of their development, is provided by specialised teachers, and involves their families in the process.