Adolescents are considered vulnerable due to their ability to venture into Health Risk Behaviours (HRBs) that may have a long-term detrimental effect on their total wellbeing. The major focus of previous adolescents' studies in Nigeria has been on parent-adolescent communication and the relationship it has with their academic performance and sexual behaviour; none has explored the association of social connectedness and HRBs among in-school adolescents. Thus, the aim of this study is to assess and compare social connectedness and HRBs among in-school adolescents in urban and rural areas of Oyo State. A school-based comparative cross-sectional design was employed wherein 2071 in-school adolescents were selected via a multistage cluster sampling in Ibarapa Central and Ibadan North Local Government Areas (LGAs) of Oyo State. The independent variables were socio-demographic characteristics, family characteristics and social connectedness while the dependent variable was HRBs. The data was analysed using descriptive statistics, chi square, t-test, ANOVA and logistic regression with level of statistical significance set at 5%. Overall, slightly over one-half of the respondents (51.9%) were from the urban LGA and 54.2% were females. The mean age of respondents was 13.7 ± 2.1 years and 46.7% were early adolescents aged 10-13 years. The prevalence of HRBs among in-school adolescents was high (91.8%) and the mean score of social connectedness among in-school adolescents was high, with a slightly higher mean in rural area (131.71 ± 16.43) compared to (131.04 ± 14.47) in urban area. However, this was not statistically significant (p = 0.322). The mean scores of the domains of religious connectedness (p = 0.176), school connectedness (p < 0.001), peer connectedness (p < 0.001) and social-media connectedness (p = 0.003) were higher in the rural areas. However, the mean score of family connectedness among respondents was higher in the urban area (p < 0.001). The odds of having engaged in HRBs were significantly 1.57 times more likely among respondents who were males than those who were females {AOR = 1.57, 95% CI: 1.12-2.19}. The odds of having engaged in HRBs was significantly 1.44 times more likely among respondents who live in an urban area than among those who live in a rural area {AOR = 1.44, 95% CI: 1.03-2.01}. For a unit increase in the total score of social-media connectedness of the students, the odds of having engaged in HRBs was reduced by 0.95 {AOR = 0.95, 95% CI: 0.92-0.99}. There were significantly lower mean scores for social connectedness among respondents who had engaged in HRBs compared to their counterpart who had not engaged in HRBs. Therefore, various efforts targeted at improving social connectedness with its domains could be recommended to prevent in-school adolescents from engaging in HRBs.