For adolescent girls in Sub-Saharan Africa, social isolation and economic vulnerability are critical problems that prevent a healthy transition from girlhood into womanhood. This study examines the effect of a multi-dimensional intervention on social, health and economic assets, as well as experiences of sexual harassment, among vulnerable adolescent girls aged 10–19 living in the low income areas of Kampala, Uganda. The study compares two treatment groups to a comparison group. The first treatment group received the full intervention—safe spaces group meetings with reproductive health and financial education plus savings accounts—while the second group only received a savings account. Findings indicate that the full intervention was associated with improvement in girls' health and economic assets. While girls who only had a savings account increased their economic assets, they were also more likely to have been sexually touched (OR = 3.146; P < 0.01) and harassed by men (OR = 1.962; P < 0.05). This suggests that economic asset building on its own, without the protection afforded by strengthening social assets, including social networks, as well as reproductive health knowledge, can leave vulnerable girls at increased risk of the sexual violence.