ABSTRACT Aims  According to the prevention paradox, a majority of alcohol‐related problems in a population can be attributed to low to moderate drinkers simply because they are more numerous than heavy drinkers, who have a higher individual risk of adverse outcomes. We examined the prevention paradox in annual alcohol consumption, heavy episodic drinking (HED) and alcohol‐related problems among adolescents in 23 European countries. Design and setting  Survey data from the 2007 European School Survey Project on Alcohol and Drugs (ESPAD) among 16‐year‐old students were analysed. Participants  A total of 38 370 alcohol‐consuming adolescents (19 936 boys and 18 434 girls) from 23 European countries were included. Measurements  The upper 10% and the bottom 90% of drinkers by annual alcohol intake, with or without HED, and frequency of HED, were compared for the distribution of 10 different alcohol‐related problems. Findings  Although the mean levels of consumption and alcohol‐related problems varied largely between genders and countries, in almost all countries the heavy episodic drinkers in the bottom 90% of consumers by volume accounted for most alcohol‐related problems, irrespective of severity of problem. However, adolescents with three or more occasions of HED a month accounted for a majority of problems. Conclusions  The prevention paradox, based on measures of annual consumption and heavy episodic drinking, seems valid for adolescent European boys and girls. However, a minority with frequent heavy episodic drinking accounted for a large proportion of all problems, illustrating limitations of the concept. As heavy episodic drinking is common among adolescents, our results support general prevention initiatives combined with targeted interventions.