Pregnancy among adolescent girls in Zambia is a significant concern on its own and as a factor in school dropout and early marriage, with one‐third of girls aged 15–19 having experienced pregnancy. Using qualitative and quantitative data from the Adolescent Girls Empowerment Program, we explore transactional sex as a driver of adolescent pregnancy. In qualitative interviews, transactional sex was repeatedly discussed as the main driver of pregnancy, as respondents indicated that when a girl feels that she “owes” a man sex, it prevents her from declining sex or using condoms. In addition, multivariate Cox proportional hazards models using four rounds of longitudinal data from a sample of unmarried and never pregnant adolescent girls (n=1,853) show that girls who have engaged in transactional sex face a hazard of first premarital pregnancy almost 30 percent greater than their peers who have not, independent of the effect of other risk‐related sexual behaviors such as condom use and number of sexual partners. Identifying and understanding the role of transactional sex in adolescent pregnancy is important for designing effective curricula and programs that delay pregnancy, and highlights the importance of addressing access to economic resources in adolescent health outcomes.