The 1996 Welfare Reform Legislation and its reauthorization in 2002 included financial provisions for programs promoting sexual abstinence until marriage. Under this legislation, programs are encouraged to teach that nonmarital sex is likely to have harmful psychological effects. Life course concepts and identity theory suggest that sex may be consequential for the mental health of some adolescents. Using the National Longitudinal Study of Adolescent Health, this article investigates mental health consequences of adolescent sex. The analyses reveal important contingencies of the effect of first sex. Timing relative to age norms, romantic relationship factors, and gender interact to condition the effect of first sex on mental health. While some adolescents experience mental health decrements, the majority of those who had first sex did not. This finding highlights the importance of considering contingencies when investigating the effects of life events on mental health.