Executive function (EF) may predict sexual risk-taking and HIV risk in young women in rural South Africa. We tested associations between EF and seven risky behavioural outcomes: binge drinking, illicit substance use, unprotected vaginal sex, concurrent sexual relationships, transactional sex, herpes simplex virus type 2 (HSV-2) infection, and HIV infection. We compared EF in young women with HIV to matched controls. 1080 young women underwent cognitive assessments. Better verbal short-term memory was associated with a lower risk of HSV-2 (OR 0.77; 95% CI 0.69, 0.86; p < 0.001). Uncorrected trends (p < 0.05) were better verbal working memory being associated with a lower risk of concurrency, better planning with a lower risk of illicit drug use, and better affective inhibition with a lower risk of transactional sex. 78 participants with sexually acquired HIV were matched with 153 HIV-negative controls and had poorer verbal working memory than controls (Hedge's g = -0.38; 95% CI -0.66, -0.10; p = 0.0076), but this was non-significant after adjustment. EF's contribution to young women's risky behaviour in this context does not hold when stringent statistical corrections are applied, with only verbal short term memory reaching statistical significance as predictor. Replication in other samples is recommended.