This article analyzes teenage pregnancy and other risk factors for fetal and infant mortality in the city of Rio de Janeiro, Brazil. The study included a sample of births in Rio de Janeiro, and exposure variables were organized hierarchically. For fetal death, the results showed the protective effect of adequate prenatal care, while maternal morbidity increased the risk. For neonatal death, adequate prenatal care and female gender in the newborn were protective factors, while black or brown maternal skin color, history of stillbirth, maternal morbidity, and physical aggression during the index pregnancy increased the risk. Low birth weight and prematurity were corroborated as determinants of fetal and neonatal death. Risk of post-neonatal death was highest with increased parity, intra-gestational morbidity, and low birth weight. Teenage pregnancy itself was an independent factor for post-neonatal death. The findings reaffirm the relevance of social and health policies targeting adolescents, as well as improvements in prenatal care.