The decreasing age of young people injecting illicit drugs is an under-reported challenge for the prevention of HIV transmission worldwide. Young people aged 15–24 years represent 1 in 5 persons living with HIV in Mauritius where the epidemic is driven by injecting drug use and risky sexual behaviours. We recruited 22 heroin users aged 18–24 and 5 service providers working in harm reduction (HR) for the present study. Qualitative data were collected through unstructured interviews. We adopted an economic framework and an inductive approach to the analysis, which implied revising codes and themes. The risks heroin users described as consumers of illicit drugs and as clients of HR services could not be analyzed in isolation. Polydrug use emerged as a recurrent coping mechanism resulting from the changing dynamics within the heroin market. The risks faced by women went beyond addiction and infection with HIV. How participants viewed the risks and benefits linked to using heroin was greatly influenced by gaps in knowledge that left room for uncertainty and reinforcing mechanisms such as peer influence. The study shows that qualitative research can produce in-depth socio-behavioural insights required to produce more effective services for young people.