Addressing the problem of suicidal thoughts in adolescents requires understanding the associated risk factors. Multiple studies have shown that risky sexual behavior affected the adolescents’ psychological health that leads to their suicidal thoughts, behaviors and attempts. This study aimed to identify the association between various risky sexual behaviours and suicidal thoughts among unmarried adolescents in India. We used data collected from 4221 unmarried adolescent boys and 5987 unmarried adolescent girls aged 10–19 years, from the two rounds of the Understanding the Lives of Adolescents and Young Adults (UDAYA) survey. Descriptive analysis was done to observe changes in the selected variables from wave-1 to wave-2. Random effect regression analysis was used to estimate the association of suicidal thoughts among unmarried adolescents with their risky sexual behaviours. The percentage of adolescent boys having suicidal thoughts increased from 1.35% in wave 1 to 2.19% in wave 2. Among adolescent girls, the percentage increased from 2.92% in wave 1 to 5.05% in wave 2. A proportion of 3.26% adolescent boys had more than one sexual partner during wave 1 whereas in wave 2, it rose to 8.71%, while in case of adolescent girls, the estimates only increased from 0.26% at wave 1 to 0.78% at wave 2. Nearly 4.55% boys and 1.37% girls had early sexual debut. Almost five percentage boys were sexually active at wave 1 whereas in wave 2, it rose to 13.56%, while among adolescent girls, the estimates decreased from 1.54% at wave 1 to 1.51% at wave 2. Contraceptive use increased over time among both adolescent boy and girls. Also, a large proportion of adolescent boys reported watching pornography (27.08% at waive 1 and 49.39% at wave 2) compared to adolescent girls (4.46% at wave 1 and 13.10% at wave 2). Adolescents who had more than one sexual partner [Coef: 0.04; p < 0.001], exposed to early sexual debut [Coef; 0.019; p < 0.01], sexually active [Coef: 0.058; p < 0.001] and reported watching pornography [Coef: 0.017; p < 0.001] were more likely to have suicidal thoughts. Adolescent boys and girls with risky sexual behaviors are likely to be at a higher risk of suicidal ideation, and thus, they should be treated with special care and attention by local healthcare practitioners.