Background: Alcohol is the most used substance among adolescents in Nigeria. While risk factors for alcohol use among adolescents are well documented in Europe and the US, they have received less attention in the literature on African countries. This study aimed to investigate the factors associated with alcohol experimentation and drunkenness episodes in a national sample of Nigerian adolescents. Methods: A total sample of 4,078 secondary-school students participated in the survey during the school year 2015–2016. The survey involved 32 secondary schools of six geopolitical zones (South-South, South-West, South-East, North-Center, North-West, and North-East) and two metropolitan cities (Abuja and Lagos) of Nigeria. Sociodemographic characteristics, parental alcohol use and permissiveness, friends’ alcohol use, risk perceptions and beliefs were investigated as correlates of alcohol experimentation and drunkenness episodes through multilevel, mixed-effect logistic regression models. Results: The prevalence of alcohol experimentation was 34.0%, while the prevalence of drunkenness episodes was 13.4%. Results showed that male gender, family structure different from both parents’ families, parental and friends’ alcohol use, parental permissiveness to drink, low risk perceptions on drinking alcohol, and positive beliefs on consequences of alcohol use were associated with an increased probability of alcohol experimentation and drunkenness episodes. Family affluence and one-parent family structure were related to an increased probability of alcohol experimentation but not of drunkenness episodes. Conclusions: The majority of risk factors analyzed in this study generalize across drinking-behavior outcomes. Since the young population is dominant in Nigeria, alcohol use could become a big public health problem in the near future. High investment in adolescents’ well-being by addressing the factors that contribute to drinking behavior might help to reduce the burden of the problem. Evidence-based prevention curriculum addressing knowledge, risk perceptions, beliefs on consequences of alcohol use, and parental behaviors should be implemented as widely and early as possible.