Background: The increase in shared physical custody in Sweden has been dramatic; 20 years ago only a small percentage of adolescents lived in shared physical custody, but currently ∼30% of the adolescents whose parents have separated or divorced divide their residence between parents. We hypothesized that living in shared physical custody or in a single-parent family is associated with a higher prevalence of adolescent risk behaviour than living in a two-parent family. Methods: Data on 15-year-old adolescents from the 2005/2006 to 2009/2010 Swedish Health Behaviour in School-aged Children (HBSC) survey were analysed using logistic regression. Results: Adolescents living in shared physical custody had slightly higher rates of risk behaviour compared with adolescents from two-parent families, but significantly lower rates than their counterparts from single-parent families. Their odds of being a smoker or having been drunk were 60 and 50% higher, respectively, than those of their counterparts in two-parent families. Conclusion: Shared physical custody after marriage break-up seems to constitute a health protective factor for adolescents’ health and problem behaviour. In order to deepen our understanding of the positive and negative aspects of shared physical custody, our study should be followed by qualitative analyses and longitudinal studies of adolescents’ experiences.