Introduction Many studies have revealed that exposure to secondhand smoke (SHS) substantially increases the risk of smoking related diseases especially among the vulnerable groups, yet data on the location of SHS exposure among youth in Malaysia are still lacking. The study aims to describe the prevalence and factors associated with SHS exposure at home, outside the home, and inside the school among school-going adolescents in Malaysia. Methods We derived the data from the TECMA study, which used a cross-sectional study design and multi-stage sampling method to obtain a representative sample of school-going adolescents aged 11–19 years in Malaysia in 2016. Data were collected through a self-administered approach using a pre-validated standard questionnaire. Descriptive and multivariate analyses were used to analyze the data, and results are presented as adjusted odds ratio (AOR) with 95% confidence interval (95% CI). Results SHS exposure for the past seven days was higher outside the home (51.2%; 95% CI: 49.2–53.2) compared to at home (37.8%; 95% CI: 35.8–39.9) while 27.3% (95% CI: 25.1–29.5) of school-going adolescents reported exposure to SHS inside the school in the past one month. In the regression analyses, older adolescents, those of Malay and Bumiputra Sarawak ethnicities, adolescents from rural areas and current smokers had higher likelihood of exposure to SHS at home, outside home and inside the school. Our study also found that adolescents who were current smokers had higher odds of being exposed to SHS at home (AOR=2.87; 95% CI: 2.57–3.21), outside the home (AOR=3.46; 95% CI: 3.05–3.92) and in the school (AOR=2.25; 95% CI: 2.01–2.51). Conclusions Health promotion measures should target parents/guardians and household members to reduce SHS exposure among adolescents. In addition, smoke-free regulation should be fully enforced in school. Furthermore, more public places should be designated non-smoking areas to reduce SHS exposure and denormalize smoking behavior.