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Background The relationship between urbanicity and adolescent health is a critical issue for which little empirical evidence has been reported. Although an association has been suggested, a dichotomous rural versus urban comparison may not succeed in identifying differences between adolescent contexts. This study aims to assess the influence of locality size on risk behaviors in a national sample of young Mexicans living in low-income households, while considering the moderating effect of socioeconomic status (SES). Methods This is a secondary analysis of three national surveys of low-income households in Mexico in different settings: rural, semi-urban and urban areas. We analyzed risk behaviors in 15-21-year-olds and their potential relation to urbanicity. The risk behaviors explored were: tobacco and alcohol consumption, sexual initiation and condom use. The adolescents' localities of residence were classified according to the number of inhabitants in each locality. We used a logistical model to identify an association between locality size and risk behaviors, including an interaction term with SES. Results The final sample included 17,974 adolescents from 704 localities in Mexico. Locality size was associated with tobacco and alcohol consumption, showing a similar effect throughout all SES levels: the larger the size of the locality, the lower the risk of consuming tobacco or alcohol compared with rural settings. The effect of locality size on sexual behavior was more complex. The odds of adolescent condom use were higher in larger localities only among adolescents in the lowest SES levels. We found no statically significant association between locality size and sexual initiation. Conclusions The results suggest that in this sample of adolescents from low-income areas in Mexico, risk behaviors are related to locality size (number of inhabitants). Furthermore, for condom use, this relation is moderated by SES. Such heterogeneity suggests the need for more detailed analyses of both the effects of urbanicity on behavior, and the responses--which are also heterogeneous--required to address this situation.