This study aimed to describe patterns of substance use in adolescents initiating mental health treatment and analyse factors associated with a high-risk pattern of substance use differentially by gender. Two hundred and thirty-seven 12- to 17-year-old new patients in an urban public mental health service were prospectively recruited and evaluated using semi-structured interviews and standardized questionnaires to obtain socio-demographic, psychopathological, family, school and substance use data. The most prevalent primary diagnoses among males were attention deficit disorder and conduct disorder, while among females they were eating disorders, affective and conduct disorders. Substance use disorder was diagnosed as follows: cannabis in 10.1% of the sample, alcohol in 3.4% and other drugs in 0.4%. A pattern of substance use with high risk of developing problems (at least regular use of alcohol or occasional use of cannabis or other illegal drugs) was found in 48.9% of the sample. After adjusting for age in the multivariate logistic regression, this pattern of risky use of drugs was found to be associated with Youth Self-Report scales of thought problems, delinquent and aggressive behaviour, in both genders. Altered family structure, having had to repeat a school grade and Youth Self-Report attention problems were only significantly associated with risky drug consumption in females. The high prevalence of risky and problematic substance use in adolescents entering mental health treatment warrants early systematic screening and specific preventive and therapeutic interventions, addressing mental health psychoeducation and motivation to avoid drugs, as well as differential associated risk factors for males and females.