In adolescence, there is a heightened propensity to take health risks such as smoking, drinking or driving too fast. Another facet of risk taking, social risk, has largely been neglected. A social risk can be defined as any decision or action that could lead to an individual being excluded by their peers, such as appearing different to one's friends. In the current study, we developed and validated a measure of concern for health and social risk for use in individuals of 11 years and over (N = 1399). Concerns for both health and social risk declined with age, challenging the commonly held stereotype that adolescents are less worried about engaging in risk behaviours, compared with adults. The rate of decline was steeper for social versus health risk behaviours, suggesting that adolescence is a period of heightened concern for social risk. We validated our measure against measures of rejection sensitivity, depression and risk-taking behaviour. Greater concern for social risk was associated with increased sensitivity to rejection and greater depressed mood, and this association was stronger for adolescents compared with adults. We conclude that social risks should be incorporated into future models of risk-taking behaviour, especially when they are pitted against health risks.