Aims: Teenage pregnancy may have negative consequences for the mother and the infant. The aim of the study was to examine whether selected individual factors occurring early in life were associated with teenage pregnancy. Methods: In a population-based, cross-sectional questionnaire study among 34,455 women from Denmark, Norway, and Sweden aged 20–45 years, who had first sexual intercourse (FSI) at age 13–19 years, we assessed the association between early smoking and drinking initiation (i.e., before the age of 13), contraceptive use at FSI, and teenage pregnancy. Log-linear binary regression models were fitted to estimate the relative risk (RR) with 95% confidence intervals (CIs) of teenage pregnancy according to the three exposure variables, overall and by age at FSI. Furthermore, the outcomes of the teenage pregnancies were examined according to age at FSI. Results: Teenage pregnancy occurred in 11% of the population. Both early smoking initiation (RR: 1.6; 95% CI: 1.4–1.8), early drinking initiation (RR: 1.2; 95% CI: 1.0–1.4), and non-use of contraceptives at FSI (RR: 1.9; 95% CI: 1.8–2.0) were associated with teenage pregnancy. The associations for early smoking initiation and non-use of contraceptives remained when analyses were stratified by age at FSI. Almost 60% of all teenage pregnant women had an induced abortion and less than 30% gave birth. Conclusions: Individual factors, including early smoking and drinking initiation, and non-use of contraceptives at FSI, were associated with teenage pregnancy regardless of age at FSI. This emphasizes the necessity of focusing on early risk-taking behavior as a potential modifier to prevent teenage pregnancy.