Psychotic experiences (PE), below the threshold of psychotic disorder, are common in the general population. PE are associated with risk behaviors such as suicidality, non-suicidal self-injury (NSSI) and substance use. However, PE as specific or causal phenomena of these risk behaviors are still debated. We aimed to examine the longitudinal trajectories of PE from preadolescence to adolescence and their associated risk behaviors in adolescence. A total of 1138 adolescents from the Copenhagen Child Cohort 2000 were assessed for PE and risk behaviors (NSSI, suicide ideation and -attempts and substance use) at age 11 and 16 years, along with measures of general psychopathology and depressive symptoms specifically. Self-reported impact of general psychopathology tended to be associated with more PE persistence. PE were associated with all risk behaviors in cross section at both follow-ups. Persistent PE from ages 11 to 16 and incident PE at age 16 were associated with risk behaviors at age 16, whereas remitting PE from age 11 to 16 were not. After adjustment for co-occurring depressive symptoms and general psychopathology, all associations were markedly reduced. After exclusion of preadolescents who already had expressed risk behavior at age 11, PE in preadolescence did not stand out as an independent predictor of incident adolescent risk behaviors. The current study suggests that PE in preadolescence and adolescence may not play a direct causal role regarding NSSI, suicidality, and substance use. However, PE are still useful clinical markers of severity of psychopathology and associated risk behaviors.