Cash transfer programmes have recently emerged as promising interventions for HIV prevention among adolescents in Africa. However, the pathways through which risk reduction occurs are not well understood. We examine data on 1429 adolescents and youth from the Kenya Cash Transfer for Orphans and Vulnerable Children, which has been shown to result in delayed sexual debut among adolescents. We explored three potential mediating pathways: schooling, socio-economic status and psycho-social status. None of these hypothesised mediators greatly altered the main effect. However, school attendance had a larger protective effect on sexual debut among females but was only increased by the programme among males. This gendered pattern of effects may explain why we did not see a mediating effect of the cash transfer through schooling, despite schooling's protective effects against early sexual debut. Results also suggest that cash transfer programmes in Africa can contribute to the reduction of HIV related risk behaviours.