Abstract Background Although evidence suggests that ultra-processed food (UPF) consumption may trigger addictive behaviors, the association between UPF intake and psychoactive substances remains unclear among adolescents, a group especially vulnerable to addiction and its potentially harmful effects on health. Objective To analyze the association between the consumption of UPF and alcohol, tobacco, and illicit drugs in adolescent students. Method This cross-sectional study analyzed data from the National School-Based Health Survey (PeNSE 2019), which collected information from a representative population-based sample of students aged 13–17 years in Brazil. UPF consumption was self-reported in a 24-h recall. Lifetime and use of alcohol, tobacco, and illicit drugs in the last month were also reported. Multinomial logistic regression models estimated the relative risk ratios (RRR) (95% confidence intervals – CI) because the outcome variables comprised four categories representing varying frequencies of use of psychoactive substances. Results The mean ± standard error number of different UPF consumed among the 95,074 adolescents included (52.3% girls) was 4.37 ± 0.02. The results from adjusted models revealed that, compared to those who reported low UPF consumption (1^st tertile), those who consumed more UPF (3^rd tertile) were more likely to report frequent (≥ 3 days in the last month) drinking of alcoholic beverages (RRR = 2.19; 95% CI: 1.87, 2.56), illicit drugs (RRR = 2.22; 95% CI: 1.87, 2.85) and occasional (one or two days in the last month) smoking (RRR = 1.30; 95% CI: 1.05, 1.60). Conclusions UPF consumption was associated with alcohol, tobacco, and illicit drug use in a national sample of Brazilian adolescents.