Previous research links risky sexual behavior (RSB) to externalizing problems and to substance use, but little research has been conducted on relationships between internalizing problems (INT) and RSB. The current study addresses that literature gap, using both a twin sample from Colorado (N = 2567) and a second twin sample from Minnesota (N = 1131) in attempt to replicate initial results. We explored the hypothesis that the latent variable INT would be more strongly associated with the latent variable RSB for females than for males, examining relationships between INT and RSB via phenotypic confirmatory factor analysis and multivariate twin analyses. We found a small but significant phenotypic association between the latent variables. However, despite using two large twin samples, limited power restricted our ability to identify the genetic and environmental mechanisms underlying this association. Our sex differences hypothesis was not fully supported in either sample and requires further investigation. Our findings illustrate the complexity of the relationship between internalizing problems and risky sexual behavior.