•We examined behavioral and psychological problems among adolescents in South Korea.•Multicultural family youths were at risk of substance use, depression and suicide.•North Korean family youths had a higher risk than other multicultural family youths.•Educational and preventive interventions are necessary for these high-risk youths. This study was aimed to investigate the health risk behaviors and psychological problems among North Korean, other multicultural, and South Korean family adolescents. The data were collected from the Korea Youth Risk Behavior web-based survey (2011–2016) data set. A total of 17,195 adolescents (mean age 14.65 ± 0.01 years) were analyzed to compare health risk behaviors and psychological problems among the three groups. Concerning risk behaviors, multicultural family adolescents showed a higher rate of alcohol use, smoking, drug use and sexual relations compared to South Korean family adolescents. Moreover, North Korean family adolescents were more likely to experience those risk behaviors than other multicultural family adolescents. Concerning psychological problems, multicultural family youth displayed more depressed mood, and more suicidal ideation, planning, and attempts when compared with South Korean family youth. Among multicultural families, North Korean family adolescents were more depressed and showed higher suicidality. School-based education and preventive interventions are necessary to manage risk behaviors and psychological difficulties of adolescents in North Korean and other multicultural families.