Background Substance use disorders negatively affect global disease burden. Effective preventive interventions are available, but whether they provide value for money is unclear. Aims This review looks at the cost-effectiveness evidence of preventive interventions for cannabis use, opioid misuse and illicit drug use. Method Literature search was undertaken in Medline, CINAHL, PsycINFO, EconLit through EBSCOhost and EMBASE, up to May 2021. Grey literature search was conducted as supplement. Studies included were full economic evaluations or return-on-investment (ROI) analyses for preventing opioid misuse, cannabis and illicit drug use. English-language restriction was used. Outcomes extracted were incremental cost-effectiveness ratios (ICER) or ROI ratios, with costs presented in 2019 United States dollars. Quality was assessed with the Drummond checklist. Results Eleven full economic evaluation studies were identified from 5674 citations, with all studies conducted in high-income countries. Most aimed to prevent opioid misuse (n = 4), cannabis (n = 3) or illicit drug use (n = 5). Modelling was the predominant methodology (n = 7). Five evaluated school-based universal interventions targeting children and adolescents (aged <18 years). Five cost–benefit studies reported cost-savings. One cost-effectiveness and two cost–utility analysis studies supported the cost-effectiveness of interventions, as ICERs fell under prespecified value-for-money thresholds. Conclusions There are limited economic evaluations of preventive interventions for opioid misuse, cannabis and illicit drug use. Family-based intervention (ParentCorps), school-based interventions (Social and Emotional Training and Project ALERT) and a doctor's programme to assess patient risk of misusing narcotics (‘the Network System to Prevent Doctor-Shopping for Narcotics’) show promising cost-effectiveness and warrant consideration.