The aim of this study was to identify changes in the hazardous consumption of alcohol, tobacco, and cannabis, due to the COVID-19 lockdown in 2020 in a cohort of schooled adolescents from Central Catalonia. We also analyzed the effect of the individual and social factors on risky consumption during confinement. This longitudinal study involved a subsample of 303 adolescents aged 14–18 years, who were attending 4th year of compulsory secondary education (ESO), 2nd year of college preparation (baccalaureate), or Vocational and Educational Training (VET). We collected data before COVID-19 lockdown (October 2019–February 2020) and 2 months after the lockdown ended. We estimated the prevalence of risky substance use in the sample at baseline for each independent variable. We used Poisson regression models with robust variance to compute the Cumulative Incidence (CI) and Relative Risk (RR), with their respective 95% confidence interval. We found that VET students had a significantly (p < 0.05) higher risk of substance use: binge drinking (RR = 3.21 (95%CI: 1.00–10.34)); hazardous drinking of alcohol (RR = 3.75 (95%CI: 1.12–12.54)), hazardous consumption of cannabis (RR = 3.75 (95%CI: 0.65–21.59)) and daily smoking of tobacco (RR = 4.82 (95%CI: 1.74–13.39)). The results showed a general trend of reduction of consumption during COVID-19 confinement period. This study suggests that VET students were more likely to engage in hazardous drinking of alcohol and daily smoking of tobacco. No statistically significant differences were found for the other age groups and variables.