Studies suggest that affluence poses a risk for adolescents, but this has rarely been studied outside the United States. We examined the unique and additive roles of family and school affluence for adolescent outcomes among 10th‐grade students (n = 7,203) in Oslo, Norway. Multilevel models were estimated separately by gender. For both boys and girls, school affluence was a risk for alcohol abuse and family affluence was a risk for conduct problems, although for conduct the risk was only at the very highest end of income distribution and adolescents in very poor families were also at risk. There was also a complex pattern of risk for early sexual debut; family affluence posed risk, but school affluence appeared protective.