Background: Over the past years, it has become clear that adapted cognitive behavior therapy can be effective for adolescents with externalizing problems and mild intellectual disabilities or borderline intellectual functioning (MID–BIF). Most adapted treatment protocols consist, however, of a combined cognitive and behavioral approach, even though it is actually unclear which approach is most suitable for these adolescents. This experimental study aimed to examine which treatment approach (cognitive versus behavioral) and which treatment sequence (cognitive–behavioral versus behavioral–cognitive) is most effective. Methods: Participating adolescents (N = 42, 50% boys, Mage = 15.52, SD = 1.43) consecutively received a cognitive and behavioral emotion regulation training module, but were randomly assigned to a different module sequence condition. Emotion regulation and externalizing problems were measured before and after the modules, and with continuing weekly assessments. Results: Results indicated that the cognitive module, by itself, was more effective than the behavioral module. In addition, the results indicated that it is most effective to include behavioral exercises after (rather than before) cognitive training. Conclusions: These findings highlight the importance of cognitive treatment approaches for adolescents with MID–BIF, and show that treatment approaches may have different effects, depending on the order in which they are presented.