Adolescents may use various substances to improve psychological wellbeing or to face personal discomfort. However, they may also use drugs because they fall in with a certain peer group, or have a boyfriend or girlfriend who draws them into risky or illegal activities. All of these motivations for substance use among adolescents may be well founded according to literature on adolescent development. The present cross- national study explores the relationships between adolescent psychological adjustment, peers, activities, and substance use. The Italian and Dutch versions of the Me and My Health questionnaire were administered to 970 Italian and Dutch adolescents (both genders, mean age 16 years old). In both countries, substance use was more strongly related to peer relationships and activities than to psychological adjustment. However, the country has a moderating role with respect to some of the aspects considered. The findings support that the most effective preventive interventions are those which involve the peer group and are adapted to the context.