The aims of this study were to examine the prevalence, co-occurrence, and psychosocial determinants of self-perceived headache, abdominal pain, and sleep problems among adolescents. The adolescents from two cities in Finland (n = 2,215, 90.9% of the target population) attending 7th and 9th grade (age range 13-18 years) participated in the cross-sectional survey inquiring about frequency of headache, abdominal pain, sleep problems, and psychosocial difficulties. The 6-month prevalence of weekly headache was 13%, abdominal pain 6%, and sleep problems 27%. All three symptoms were strongly associated with each other. Of the adolescents suffering from one symptom, 32% reported one co-occurring symptom and 17% two co-occurring symptoms. In the multivariate analysis, female gender, experience of psychological difficulties, emotional symptoms, smoking, victimization, and feeling not cared about by teachers were independently associated with all the individual symptoms, as well as an increasing number of symptoms. Sleep problems were associated with older age and peer and alcohol problems. Abdominal pain was associated with conduct problems, and both headache and abdominal pain were linked with immigration background. An increasing number of symptoms was associated with older age, having a chronic illness, and conduct and alcohol problems. Adolescents' headache, abdominal pain and sleep problems were common and often co-occurred. An increasing frequency of each symptom and number of symptoms were associated with psychosocial factors in a similar way. Screening for psychiatric symptoms, substance use, victimization and difficulties with teachers should be included in the assessment of adolescents who suffer from recurrent headache, abdominal pain or sleep problems.