Previous studies from sub-Saharan Africa have found that orphans experience increased sexual risk compared to non-orphans. We developed a theoretical framework for the investigation of determinants of HIV risk and used it to generate specific hypotheses regarding the effect of country-level HIV prevalence on the sexual risk experience of orphans. We expected that countries with high HIV prevalence would experience a higher prevalence of orphanhood. We further hypothesised that orphans in countries with high HIV prevalence would experience increased sexual risk, compared to non-orphans, due to pressure on the extended family network, which is primarily responsible for the care of orphans in sub-Saharan Africa, resulting in poorer standards of care and guidance. We used hierarchical logistic regression models to investigate this hypothesis using cross-sectional, Demographic and Health Survey data from 10 sub-Saharan African countries. We found that countries with high HIV prevalence did indeed have higher prevalence of orphanhood. We also found that, amongst female adolescents, maternal and double orphans were significantly more likely to have started sex than non-orphans in countries with high HIV prevalence but were not at increased risk in low HIV prevalence countries. This effect of country-level HIV prevalence on the sexual risk of orphans was not explained by household level factors such as wealth, overcrowding or age of the household head. The same pattern of risk was not observed for male adolescents — male orphans were not more likely to have started sex than non-orphans. This suggests that orphaned adolescent women are an important target group for HIV prevention and that efforts should be made to integrate prevention messages into existing support programmes for orphans and vulnerable children.