This study explored the prevalence of risk behaviors (excessive alcohol use, illegal drug use, heavy smoking, reduced sleep, overweight, underweight, sedentary behavior, high use of Internet/TV/videogames for reasons not related to school or work, and truancy), and their association with psychopathology and self-destructive behaviors, in a sample of 12,395 adolescents recruited in randomly selected schools across 11 European countries. Latent class analysis identified three groups of adolescents: a low-risk group (57.8%) including pupils with low or very low frequency of risk behaviors; a high-risk group (13.2%) including pupils who scored high on all risk behaviors, and a third group (ÒinvisibleÓ risk, 29%) including pupils who were positive for high use of Internet/TV/videogames for reasons not related to school or work, sedentary behavior and reduced sleep. Pupils in the ÒinvisibleÓ risk group, compared with the high-risk group, had a similar prevalence of suicidal thoughts (42.2% vs. 44%), anxiety (8% vs. 9.2%), subthreshold depression (33.2% vs. 34%) and depression (13.4% vs. 14.7%). The prevalence of suicide attempts was 5.9% in the ÒinvisibleÓ group, 10.1% in the high-risk group and 1.7% in the low-risk group. The prevalence of all risk behaviors increased with age and most of them were significantly more frequent among boys. Girls were significantly more likely to experience internalizing (emotional) psychiatric symptoms. The ÒinvisibleÓ group may represent an important new intervention target group for potentially reducing psychopathology and other untoward outcomes in adolescence, including suicidal behavior.