Traditionally, adolescent drinking cultures differed between Nordic and Mediterranean countries; the former being characterised by low volume and relatively frequent heavy episodic drinking (HED). Across these drinking cultures, we examined the associations between alcohol volume and HED with respect to (i) secular trends at the country level and (ii) individual-level associations over time. The data stem from the European School Survey Project on Alcohol and Other Drugs (ESPAD) conducted among 15–16-year-olds in Finland, Iceland, Norway, Sweden, France and Italy, employing six cross-sectional surveys from 1999 to 2019 (n = 126,126). Both consumption volume and HED frequency decreased in all Nordic countries and displayed a curvilinear trend in France and Italy. In all countries, consumption volume and HED correlated highly over time at the country level. At the individual level, the correlation was positive but with a varying magnitude over time and between countries. In 1999/2003, the alcohol volume–HED correlation was significantly higher in the Nordic compared to the Mediterranean countries but became significantly weaker in Finland, Norway and Sweden and remained stable in France, Iceland and Italy during the period. In conclusion, while trends in consumption volume and drinking patterns went hand in hand at the aggregate level, the association at the individual level weakened over time in several Nordic countries, along with the substantial decline in adolescent drinking since 2000.