This cross-sectional quantitative study aims to identify situations of vulnerability experienced by adolescents of public secondary schools in Cuiabá, state of Mato Grosso, Brazil, during the second semester of 2009. A closed questionnaire was used in the research. The results show that 10.5% of the boys and 5.8% of the girls had already used illegal drugs at the age of 15--cocaine (28.9%) and marijuana (15.7%) were the most reported; and that 45.2% of the boys and 52.4% of the girls drink alcoholic beverages, beer being the most common. Among self-declared smokers (16.0%), the majority began smoking at the age of 15. Sexual violence was reported, but only 33.3% of the boys and 25.0% of the girls sought help. Fear and shame were the reported reasons for not seeking help. The need for specific prevention and treatment services for adolescents in vulnerable situations stands out, in view of the occurrence and the consequences of this kind of harm.