This study examined differences in adolescent risky behaviors between rural communities and urban communities and identified specific factors predicting these differences from a family social capital perspective. Secondary data analysis was conducted using the 2012 state‐wide representative youth survey (N = 61,321) in Arizona, United States. The results mostly confirmed the already documented differences between rural–urban youth and related health disparities. The rates of cigarette use, alcohol use and driving after drinking were higher in rural respondents than those in urban respondents. However, the rate of drug use such as marijuana and methamphetamines was lower in rural respondents. The findings highlighted the importance of family structure, family relationships, and socio‐economic status as contributor to these rural/urban differences. These results were discussed from family capital perspective and practice and policy recommendations were provided for the United States and other societies like China that face similar rural–urban disparities in youth behavioral health.