Aim Adolescence is a developmental period often associated with high-risk behaviors. While some risk-taking behavior is considered normative in adolescents, research has indicated an association between risky behaviors and mental ill-health. The current research aimed to examine the relationship between anxiety and depression with the occurrence of high-risk behaviors in adolescents and also determine the predictive factors of these main variables. Methods A descriptive, cross-sectional, correlational design was used to collect data from 399 adolescents between the ages of 14 and 19 residing in Qazvin, Iran using the Revised Child Anxiety and Depression Scale (RCADS) and the Iranian Adolescents Risk-taking Scale (IARS) between the period of October and November 2015. Data analysis included descriptive and inferential statistics powered by SPSS (v. 23). Results Mean scores for anxiety, depression and risky behaviors were 37.70 ± 21.11 and 80.76 ± 31.30, respectively. Participants’ frequency of suicidal thoughts ( β = 0.126, p < 0.05) positively predicted anxiety and depression, while age ( β = −0.126, p < 0.01) and self-confidence ( β = −0.307, p < 0.001) negatively predicted anxiety and depression. Moreover, having friends that smoke ( β = 0.366, p < 0.001), suicidal thoughts ( β = 0.127, p < 0.01), and the strength of suicidal thoughts ( β = 0.100, p < 0.05) were positive predictors of occurrence of risky behaviors. Furthermore, religious belief ( β = −0.204, p < 0.001) negatively predicted occurrence of risky behaviors in Iranian adolescents. Male respondents were more likely to have higher level of occurrence of risky behaviors than females ( β = −0.193, p < 0.001). Conclusion Findings of the present study suggest that anxiety and depression positively and significantly predict the occurrence of risky behaviors in addition to having friends that smoke, suicidal thoughts, and strong suicidal thinking. The implications of these findings have relevance for screening, prevention, and treatment interventions targeting mental health in adolescents.