Increasing human papilloma virus (HPV) vaccination coverage is one of the key approaches to preventing cervical cancer globally. However, some argue that HPV vaccine recipients may engage in risky compensatory sexual behaviours because of perceived protection afforded by the vaccine. Therefore, we investigated the impact of a wide-scale HPV vaccination programme on sexual behaviours among adolescent women in Rwanda—the first African country to implement a national HPV vaccination. We identified a cohort of women who were eligible for the HPV vaccination and those who were not eligible from the most recent Rwanda Demographic and Health Survey. We used a quasi-experimental regression discontinuity design, exploiting the quasi-random change in HPV vaccination eligibility in 2011, to compare sexual behaviours among vaccinated and unvaccinated adolescent women. We studied the impact of the vaccination on reported sexual intercourse, average number of sexual partners and teenage pregnancy across the vaccination eligibility threshold. Our analysis included 3052 adolescent women (mean age: 18.6 years), of whom 58% were eligible for HPV vaccination. Nearly one in five adolescents reported having had sexual intercourse (18.5%). The average reported lifetime number of sexual partners was 1.41. The proportion of teenage pregnancy was 5.3%. We found no evidence that HPV vaccination was associated with any significant changes across the eligibility threshold in reported sexual behaviours we studied: no significant increase in the proportion of having sexual intercourse [odds ratio (OR): 0.80, 95% confidence interval (CI): 0.57–1.12; P = 0.19], in lifetime number of sexual partners (rate ratio 0.99, 95% CI: 0.83–1.17, P = 0.91) and in the proportion of teen pregnancies (OR 1.05, 95% CI: 0.50 to 2.20, P = 0.89) at the eligibility threshold. The Rwandan national HPV vaccination programme did not increase sexual behaviours among adolescent women, assuaging concerns of engaging in risky compensatory sexual behaviours some have feared.