We investigate the mechanisms by which a student's age relative to classmates (i.e., relative age) influences risky health behaviors among European adolescents. Using a two-stage least squares approach, we show that relatively young students are more prone to engage in risky behaviors. These results hold after controlling for absolute age, country fixed effects, and birth season effects. In the second part of the paper, we conduct two sets of analyses on possible mechanisms. First, causal mediation analyses reveal that students' perceived academic performance is the primary mediator. Second, additional analyses suggest that perceptions of substance risks and peer usage prevalence may also play a significant role.