This study (1) reports frequency rates of mutually exclusive traditional, cyber and combined (both traditional and cyber) bullying roles; and (2) investigates whether adolescents belonging to particular bullying roles show higher levels of involvement in risky online activities (Compulsive Internet Use (CIU), online grooming victimization, and sexting) and risky offline activities (bad behavior in school, drinking alcohol and truancy) than non-involved adolescents. The sample comprised self-reports of 1928 German, Dutch and Thai adolescents (Age = 12–18; M = 14.52; SD = 1.6). The results revealed age, sex and country differences in bullying frequency rates. CIU, sending of sexts and risky offline activities were most strongly associated with combined bully-victims. The receiving of sexts was most strongly associated with combined bullies; and online grooming victimization was most strongly related to cyber bully-victims. Another important finding is that the associations between risky offline activities and combined bullying are stronger than for traditional and cyber bullying. The findings contribute to better understanding of the associations between varying bullying roles and risky online and offline activities among adolescents. In sum, the results underscore the need to promote life skills rather than adopting more conventional approaches, which focus almost exclusively on reduction of risks.