While early sexual experiences are a key marker of the transition from childhood to adulthood, it is widely acknowledged that precocious initiation of sexual activity predisposes adolescents to negative health and psychological outcomes. Extant studies investigating adolescent sexuality in sub-Saharan Africa often rely on cross-sectional data lacking information on the social-psychological underpinnings of adolescent behavior. Through the theoretical lens of the protection-risk conceptual framework, this paper draws on two waves of longitudinal data collected from 2,134 adolescents to examine sociodemographic, psychosocial and behavioral predictors of transition to first sex among adolescents living in slum and non-slum settlements in urban Kenya. We employ logistic regression models to examine the effect of antecedent sociodemographic and risk and protective factors measured during the first wave of data collection on transition to first sex by the second wave. We observe that transition to first sex is influenced by age, slum residence, perceived parental monitoring, and peer behavior. We also find evidence for coupling of risk behaviors. Study findings underscore the need to focus on very young adolescents and those growing up in resource poor settings as these young people may be highly vulnerable to negative health outcomes stemming from precocious sexual activity.