According to Jessor's Problem Behaviour Theory (PBT) and Moffitt's theory of adolescence-limited antisocial behaviour, adolescent risk behaviours cluster and can be predicted by various psychosocial factors including parent, peer and school attachment. This study tested the potential influence of the sociocultural, or macro-level, environment on the clustering and correlates of adolescent risk behaviour across 27 European and North American countries.Analyses were based on data from the 2009-10 Health Behaviour in School-aged Children (HBSC) study. Participants compromised 56,090 adolescents (M(age) = 15.5 years) who self-reported on substance use (tobacco, alcohol, cannabis) and early sexual activity as well as on psychosocial factors (parent, peer and school attachment).Multiple group confirmatory factor analyses (with country as grouping variable) showed that substance use and early sexual activity loaded on a single underlying factor across countries. In addition, multiple group path analyses (with country as grouping variable) showed that associations between this factor and parent, peer and school attachment were identical across countries.Cross-national consistencies exist in the clustering and psychosocial correlates of substance use and early sexual activity across western countries. While Jessor's PBT stresses the problematic aspects of adolescent risk behaviours, Moffitt emphasizes their normative character. Although the problematic nature of risk behaviours overall receives more attention in the literature, it is important to consider both perspectives to fully understand why they cluster and correlate with psychosocial factors. This is essential for the development and implementation of prevention programmes aimed at reducing adolescent risk behaviours across Europe and North America.