The current study tested the applicability of Jessor’s Problem Behavior Theory in explaining problem behavior among adolescents in Egypt. Data were collected from 887 adolescents (52% males) with a mean age of 13.4 years. Participants rated three measures of problem behaviors (delinquent behavior, cigarette smoking, and problem substance use), three types of psychosocial protection (models protection, controls protection, and support protection), and three types of psychosocial risk (models risk, opportunity risk, and vulnerability risk). Female adolescents reported lower levels of problem behavior involvement than male adolescents. Psychosocial protective and risk factors accounted for significant variation in adolescents’ problem behavior involvement. For males, models risk was the most important risk factor in problem behavior involvement variation, whereas for females, opportunity risk was the most important risk factor. Present findings are useful in understanding problem behavior involvement among Egyptian youth and informing the design of interventions to reduce problem behavior.