The aim of this study was to analyze the association between risk behaviors and adiposity indicators in adolescents and to discuss some methodological aspects related to this relationship. We evaluated 1,321 adolescents (55.2% female) aged 10–16 years. Relative body fat (%fat) by measurement of triceps and subscapular skinfold thickness and waist circumference (WC) were used as total and central adiposity indicators, respectively. Physical inactivity, time spent in front of the TV, the consumption of soda and/or chocolate, alcohol, and tobacco smoking were analyzed as risk behaviors. Information about the socioeconomic status (categorized into three levels) and nutritional status of the mother (overweight or normal weight) were used as adjustment factors in the analyses of prevalence ratio (PR) of the outcomes and their associated 95% confidence intervals (95% CI). The chi-square test and Poisson regression were used for statistical analyses. Low associations were found between risk behaviors and adiposity indicators. Tobacco smoking was the most positively correlated behavior with adiposity in girls (%fat: PR = 1.61; 95% CI = 1.04–2.47; WC: PR = 1.90; 95% CI = 1.17–3.08) and in adolescents whose mothers were normal weight (%fat: PR = 2.31; 95% CI = 1.33–4.03; WC: PR: 2.31; CI: 1.19–4.46). Additionally, as an important methodological issue, we highlighted the assessment of risk behaviors in adolescents as crucial to producing more robust evidence on the subject. Of the investigated behaviors, we concluded that tobacco smoking is the behavior most associated with adiposity indicators.