Background: Few population-based Nordic studies with adolescents investigate the associations between sexual abuse (SA) and psychosocial health. Aim: Associations between adolescents’ self-reported experiences of SA different severity and aspects of psychosocial health such as emotional and behavioral problems, sense of coherence and self-esteem were investigated. Methods: A school-based study with 1107 Swedish high school seniors was conducted. The students completed the Strengths and Difficulties Questionnaire (SDQ), the Sense of Coherence Scale (SOC), I think I am and a self-report survey that included questions about SA, socio-demographic variables and family variables. Results: SA was related to more emotional and behavioral problems, weaker SOC and lower self-esteem when compared with non-abuse. There was also a dose–response effect insofar as more severe abuse was related to poorer psychosocial health. When adjusted for socio-demographic and family-related variables, the associations between penetrating SA and most of the health variables weakened or disappeared. SOC was associated with penetrating SA even after adjustment. Conclusions: This population-based study suggests that SA should not be regarded as an isolated factor in relation to psychosocial health as the associations at a group level may be smaller than expected. Among a number of covariates, family variables such as parental bonding showed to be especially important. Sense of Coherence may be of special interest in further research and clinical treatment.