Adolescent girls in low‐ and middle‐income countries often experience several important life transitions, including school‐leaving, marriage, and childbearing. Understanding how these transitions are associated with changes in the nutritional status of adolescent girls and young women (AGYW) is crucial for programs that aim to improve nutritional outcomes among youth and promote healthy transitions to adulthood. We investigated the associations between adolescent transitions and body mass index (BMI) among a cohort of 4887 adolescent girls in Zambia aged 10–19 years when first interviewed in 2013. Estimating fixed‐effects models controlling for constant and time‐varying confounders, we found that school‐leaving, marital status, and childbearing are associated with the nutritional status of AGYW in diverse ways. School‐leaving was associated with higher BMI and increased odds of overweight/obesity. Marriage was not only associated with increased odds of undernutrition, particularly in rural areas, but also with increased odds of overweight/obesity among older girls. Motherhood was associated with lower BMI and lower odds of overweight/obesity, particularly among breastfeeding mothers. Our results provide evidence of characteristics of AGYW that would be useful for targeted nutritional interventions and behavior change programming, including girls leaving school, recently married, and young women undergoing a marital separation, as well as young mothers and their children.