Objectives: To analyze psychosocial stress indicators and health-risk behaviors associated with sedentary behavior. Methods: This is a cross-sectional school-based study with a representative sample of high school students enrolled in public state schools of Sergipe, Brazil, with the sample composed of 3992 adolescents aged 14–19 years. Data were collected through self-administered questionnaire. The time spent in activities, such as watching television, playing computer games, chatting with friends, and playing cards or dominoes, was used as a measure of sedentary behavior (>2 h/d = exposed). Level of physical activity, smoking, stress perception, feelings of loneliness, trouble sleeping, and consumption of fruits and vegetables, soft drinks, alcohol, and drugs were analyzed. Binary logistic regression analysis was used for association among variables. Results: The prevalence of sedentary behavior was 46.7% and was associated with low levels of physical activity, consumption of soft drinks, negative stress perception, feelings of loneliness, and trouble sleeping. Conclusion: This study showed high proportion of adolescents with sedentary behavior, especially among those who are insufficiently active and exposed to psychosocial stress indicators.