This study finds that participation in extracurricular activities significantly reduces engagement in risky behaviours among Australian adolescents. However, the effects differ by activity type, gender and to some extent by socio-economic status (SES). Participation in activities other than sports and arts reduces both weekly drinking and marijuana use for both genders. Participation in arts reduces weekly drinking among males and marijuana use among females, whereas participation in non-organised sports reduces regular smoking and marijuana use among males only. Even though weekly drinking is positively associated with participation in organised sports among males, the association is likely to reflect unobserved differences between participants in organised sports and non-participants. There is some evidence that extracurricular activity participation lowers engagement in risky behaviours for low-SES females more than it does for high-SES females, yet among males the SES gradient is almost non-existent.