This study examined whether sex-related health disparities that emerge during adolescence are linked to social norms and social connections within three primary social contexts: families, friendships, and schools. Using data from the National Longitudinal Study of Adolescent Health (N = 18,921), we assessed links between social norms and social connections with parents, friends, and schools and depressive symptoms and substance use separately for males and females. In addition, we considered parents, friends, and schools as both combined and sex-specific contexts. Results suggested that links between social norms and adolescent health were stable across the sex of the recipient but varied by sex of the provider, whereas links between social connections and adolescent health varied across the sex of both provider and recipient. Social norms from mothers and female schoolmates (but not from fathers or male schoolmates) were associated with both male and female substance use. In contrast, connectedness with fathers served as a protective factor for male depressive symptoms, whereas connectedness with female friends was a risk factor for female depressive symptoms. These findings extend the literature investigating sex disparities in adolescent mental and behavioral health by locating significant influences from multiple social contexts, revealing sex-specific social norms and social connections within these contexts as playing a salient role, and identifying several areas for preventative efforts, specifically (a) maternal and female schoolmate social norms in reducing substance use, (b) paternal connectedness in reducing male depressive symptoms, and (c) connectedness within female friendships as a risk for female adolescents’ mental health.