Adolescents engage in health risk behaviors (HRBs) that influence their current and future health status. Health literacy (HL) is defined as how well a person can get and understand the health information and services, and use them to make good health decisions. HL can be used to participate in everyday activities actively and apply new information to the changing circumstances. HRBs commonly co-occur in adolescence, and few researchers have examined how HL predicts multiple HRBs in adolescence. In this study we examined the subgroups of HRBs, and investigated heterogeneity in the effects of HL on the subgroups. In total, 22,628 middle school students (10,990 males and 11,638 females) in six cities were enrolled by multistage stratified cluster sampling from November 2015 to January 2016. The measurement of HL was based on the Chinese Adolescent Interactive Health Literacy Questionnaire (CAIHLQ). Analyses were conducted with regression mixture modeling approach (RMM) by Mplus. By this study we found four latent classes among Chinese adolescents: Low-risk class, moderate-risk class 1 (smoking/alcohol use (AU)/screen time (ST)), moderate-risk class 2 (non-suicidal self-injury (NSSI)/suicidal behaviors (SB)/unintentional injury (UI)), and high-risk class (smoking/AU/ST/NSSI/SB/UI) which were 64.0%, 4.5%, 28.8% and 2.7% of involved students, respectively. Negative correlations were found between HL and HRBs: higher HL accompanied decreased HBRs. Compared to the low-risk class, moderate-risk class 1 (smoking/AU/ST), moderate-risk class 2 (NSSI/SB/UI), and high-risk class (smoking/AU/ST/NSSI/SB/UI) showed OR (95%CI) values of 0.990 (0.982-0.998), 0.981 (0.979-0.983) and 0.965 (0.959-0.970), respectively. Moreover, there was heterogeneity in the profiles of HRBs and HL in different classes. It is important for practitioners to examine HRBs in multiple domains concurrently rather than individually in isolation. Interventions and research should not only target adolescents engaging in high levels of risky behavior but also adolescents who are engaging in lower levels of risky behavior.