Adolescent girls and young women in urban slum areas in developing countries face a myriad of challenges regarding education, sexual health, livelihoods and gender-based violence. One way of understanding how these challenges interact with each other is through the Asset Building Framework, which posits that girls need a combination of social, health and economic assets in order to make a healthy transition from childhood to adulthood. This study sought to examine barriers and facilitators to health behaviour change and economic activity for girls within the context of this framework. It involved a combination of focus group discussions and in-depth interviews with 128 young women who were in the age range of 18–25 years, living in various slums in Nairobi, Kenya. We found that economic assets reduce young women's dependence on others (especially parents and relationships with men) so that they are able to make positive changes in health behaviour. Social networks, self-esteem and financial literacy all played important roles in positively positioning girls to make the transition to economic activity safely and successfully. We suggest that programmes that seek to improve girls’ and young women's health behaviour or economic activity include elements of asset building within all three categories of assets.