Our aim was to assess the relationship between self-reported depression, alcohol consumption, and substance use among 14- to 16-year-olds. A school survey was conducted of 16,464 14- to 16-year-olds in two regions of Finland. Alcohol and other substance use were found to be significantly associated with depression. Of girls (boys) who reported drinking weekly, 24% (13%) scored as depressed, compared with 7% (4%) of those not drinking. Of girls (boys) who reported having experimented with substances five times or more, 37% (28%) scored as depressed compared with 8% (5%) of those who reported never having experimented with substances. These associations persisted in multivariate analyses controlling for sociodemographic background. In conclusion, frequent drinking and experimenting with substances indicate a risk for adolescent depressive disorders, and depressive adolescents are at risk for substance use. Health services should pay attention to the identified depressive adolescents to prevent the possibly subsequent substance use problems among them and also pay attention to frequently drinking adolescents and substance experimenters, to increase identification of depressive disorder and possibilities for early interventions.