Self-concept represents a complete impression that a person has about oneself. Among other things, it depends on external factors in the environment and it is formed throughout the whole development of a person. Self-concept has a close relationship with risk behaviours of young people and it is a subject of many studies. The objective of this research was to investigate the relationship between self-concept (self-esteem, physical appearance, relations with parents and self-concept of religiosity) and risk behaviours of students (alcohol use and risk sexual behaviour). Research was conducted through an on-line survey questionnaires with 273 students. The results showed that students have relatively high self-esteem, self-concept of physical appearance and perception of relationship with parents, while their religiosity was moderate. Likewise, the results showed a significant negative correlation between self-concept of religiosity and alcohol use and risk sexual behaviour. There was also a significant negative correlation between relationship with parents and risk sexual behaviour and some aspect of alcohol use. The results showed that male students use alcohol significantly more and have a higher rate of risk sexual behaviour compared with female students. There was no difference in various aspects of self-concept between male and female students. It is necessary to investigate this subject more thoroughly in the future with larger samples of students in order to bring stronger conclusions and to potentially prevent risk behaviours of students.