Purpose This study examined the association between early initiation of problem behaviors (alcohol drinking, cigarette smoking, and sexual intercourse) and suicidal behaviors (suicidal ideation and suicide attempts), and explored the effect of concurrent participation in these problem behaviors on suicidal behaviors among Korean adolescent males and females. Materials and Methods Data were obtained from the 2006 Korean Youth Risk Behavior Survey, a nationally representative sample of middle and high school students (32,417 males and 31,467 females) in grades seven through twelve. Bivariate and multivariate logistic analyses were conducted. Several important covariates, such as age, family living structure, household economic status, academic performance, current alcohol drinking, current cigarette smoking, current butane gas or glue sniffing, perceived body weight, unhealthy weight control behaviors, subjective sleep evaluation, and depressed mood were included in the analyses. Results Both male and female preteen initiators of each problem behavior were at greater risk for suicidal behaviors than non-initiators, even after controlling for covariates. More numerous concurrent problematic behaviors were correlated with greater likelihood of seriously considering or attempting suicide among both males and females. This pattern was more clearly observed in preteen than in teen initiators although the former and latter were engaged in the same frequency of problem behavior. Conclusion Early initiation of alcohol drinking, cigarette smoking, and sexual intercourse, particularly among preteens, represented an important predictor of later suicidal ideation and suicide attempts in both genders. Thus, early preventive intervention programs should be developed and may reduce the potential risks for subsequent suicidal behaviors.