Objectives: Sport practice is a key factor in a person’s physical and mental health but, for adolescent athletes, some injuries lead to health problems in the long term. The literature provides multiple factors for understanding injury but does not give information about injury risk related to each level of play in a large sample of multisport athletes. This study investigates this relationship in 14- to 19-year-old adolescents. Methods: The survey on adolescents and health was conducted in classrooms of France, from February to March 2015. Only sports players were included in the analyses (n = 986). The levels of play were divided into five categories: outside of a club/no competition, club player/no competition, club player/local level, club player/state level and club player/national and higher level. A three-step binary logistic regression analysis with age, sex, type of sport, weekly hours of exposure, and level of play was used. Results: During the past year, 48.1% of the adolescents were injured. Age and sex were not risk factors. The injury risk associated with the increases in level of play is higher than those related to the hours of exposure per week or the type of sport. In clubs, adolescents who do not compete or play at a local level showed no evidence of greater injury risk whereas state-level and national- and higher-level athletes were at greater risk than outside-of-club players (OR = 2.18, 95%CI = 1.13–3.94 and OR = 3.89, 95%CI = 2.07–7.31, respectively). Conclusion: Adolescents who play sports in clubs are clearly more exposed to injury than those who play outside of a club, mainly from state level. Age and sex are not related to injury. Future epidemiological studies should control adolescents’ level of play. Special attention should be accorded to the injury risk of athletes playing at these levels of competition.