Purpose: Identify and examine the associations between health behaviors and increased risk of adolescent suicide attempts, while controlling for socioeconomic and demographic differences. Design: A data-driven analysis using cross-sectional data. Setting: Communities in the state of Montana from 1999 to 2017. Subjects: Selected 22,447 adolescents of whom 1,631 adolescents attempted suicide at least once. Measures: Overall 29 variables (predictors) accounting for psychological behaviors, illegal substances consumption, daily activities at schools and demographic backgrounds, were considered. Analysis: A library of machine learning algorithms along with the traditionally-used logistic regression were used to model and predict suicide attempt risk. Model performances (goodness-of-fit and predictive accuracy) were measured using accuracy, precision, recall and F-score metrics. Results: The non-parametric Bayesian tree ensemble model outperformed all other models, with 80.0% accuracy in goodness-of-fit (F-score:0.802) and 78.2% in predictive accuracy (F-score:0.785). Key health-behaviors identified include: being sad/hopeless, followed by safety concerns at school, physical fighting, inhalant usage, illegal drugs consumption at school, current cigarette usage, and having first sex at an early age (below 15 years of age). Additionally, the minority groups (American Indian/Alaska Natives, Hispanics/Latinos), and females are also found to be highly vulnerable to attempting suicides. Conclusion: Significant contribution of this work is understanding the key health-behaviors and health disparities that lead to higher frequency of suicide attempts among adolescents, while accounting for the non-linearity and complex interactions among the outcome and the exposure variables.