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Objective To examine orphan status, mental health, social support, and HIV risk among adolescents in rural Kenya. Methods Randomly selected adolescents aged 10–18 years completed surveys assessing sexual activity, sex-related beliefs and self-efficacy, mental health, social support, caregiver–child communication, time since parental death, and economic resources. Analysis of covariance and regression analyses compared orphans and nonorphans; orphan status was tested as a moderator between well-being and HIV risk. Results Orphans reported poorer mental health, less social support, and fewer material resources. They did not differ from nonorphans on HIV risk indicators. Longer time since parental death was associated with poorer outcomes. In moderator analyses, emotional problems and poorer caregiver–youth communication were more strongly associated with lower sex-related self-efficacy for orphans. Conclusions Orphans are at higher risk for psychosocial problems. These problems may affect orphans’ self-efficacy for safer sex practices more than nonorphans. Decreased HIV risk could be one benefit of psychosocial interventions for orphans.