(1) Background: Negative experiences during adolescence increase the vulnerability to develop mental disorders later in life. A better understanding of the mechanisms underlying these long-term alterations could help to identify better therapeutic interventions. (2) Methods: Adolescent male Wistar rats were used to explore the effects of repeated stress and alcohol exposure on anxiety-like behaviors, plasma corticosterone levels and the gene expression of the endocannabinoid system (ECS) and other relevant signaling systems (glutamatergic, corticotropin-releasing hormone (CRH) and neuropeptide Y (NPY)) in the amygdala and the medial prefrontal cortex (mPFC). (3) Results: Overall, both stress and alcohol induced anxiety-like behaviors, but only the alcohol-exposed rats displayed increased plasma levels of corticosterone. In the amygdala, there was a general deficit in the gene expression of the ECS and increases in the mRNA levels of certain subunits of glutamate receptors. Interestingly, there were significant interaction effects between stress and alcohol on the expression of the NMDA receptor subunits. In addition, increased mRNA levels of the CRH receptor were observed in alcohol-exposed rats. In the mPFC, alcohol exposure was associated with an increase in the gene expression of the ECS. By contrast, the combination of stress and alcohol produced opposite effects. (4) Conclusions: In summary, early stress and alcohol exposure induced long-term anxiety-like behavior in male rats but different mechanisms are involved in these maladaptive changes in the brain.