Previous research shows that a disadvantaged school setting is associated with increased risk of adolescent delinquency. However, there is limited research on individual differences in such contextual effects. In this study, we investigated whether the association between impulsive and sensation-seeking traits and delinquency is modified by the school setting, focusing on schools’ socioeconomic and ethnic composition and average school performance. We also examined whether the association between gender and delinquency varies by school context. Participants were adolescents in ninth grade from the Stockholm School Survey (5619 pupils in 89 schools). The findings showed an attenuating effect of school advantage on adolescents’ individual risk of delinquency. Impulsive and sensation-seeking adolescents, and boys in particular, committed less crime if they attended more advantaged schools.