Aim of the research was to investigate the adoption of some health risk behaviours (driving behaviours, smoking, drinking alcohol, substance abuse, unprotected sexual behaviours), in a sample of students of the area of Bologna, and the differences according to age, gender, type of school and nationality (Italian vs immigrants). Of interest was the relationship between such behaviours and perceived self-efficacy (emotional, social, regulatory and general self-efficacy). A questionnaire was submitted to 1.130 students attending 16 different high schools and 4 vocational courses. Results indicate an important predictive role of regulatory self-efficacy, which reduces adolescents’ tendency to take risks, whereas social self-efficacy enhances risk assumption. No relevant differences were found between Italian and immigrant students.