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Adolescent girls and young women (AGYW) experience high rates of HIV early in their sexual life course. We estimated the prevalence of HIV-associated vulnerabilities at first sex, and their association with lifetime gender-based violence (GBV) and HIV.We conducted a cross-sectional biobehavioral survey among AGYW (14–24 years) in Mombasa, Kenya in 2015. We compared the prevalence of first sex vulnerabilities across AGYW who self-identified as engaging in sex work (N = 408), transactional sex (N = 177), or casual sex (N = 714) and used logistic regression to identify age-adjusted associations between first sex vulnerabilities and outcomes (GBV after first sex; HIV).The median age at first sex was 16 years (interquartile range 14–18). A total of 43.6% received gifts or money at first sex; 41.2% and 11.2% experienced a coerced and forced first sex, respectively. First sex vulnerabilities were generally more common among AGYW in sex work. GBV (prevalence 23.8%) and HIV (prevalence 5.6%) were associated with first sex before age 15 [GBV adjusted odds ratio (AOR) 1.4, 95% confidence interval (CI): 1.0 to 1.9; HIV AOR 1.9, 95% CI: 1.1 to 1.3]; before or within 1 year of menarche (GBV AOR 1.3, 95% CI: 1.0 to 1.7; HIV AOR 2.1, 95% CI: 1.3 to 3.6); and receipt of money (GBV AOR 1.9, 95% CI: 1.4 to 2.5; HIV AOR 2.0, 95% CI: 1.2 to 3.4).HIV-associated vulnerabilities begin at first sex and potentially mediate an AGYW's trajectory of risk. HIV prevention programs should include structural interventions that reach AGYW early, and screening for a history of first sex vulnerabilities could help identify AGYW at risk of ongoing GBV and HIV.