Substance use is a major contributor to morbidity and mortality among American adolescents. Conduct problems and depressive symptoms have each been found to be associated with adolescent substance use. Although they are highly comorbid, the role of the interaction of conduct problems and depressive symptoms in substance use is not clear. In national samples of 8th-, 10th-, and 12th-grade students from the Monitoring the Future study, latent moderated structural equation modeling was used to estimate the association of conduct problems, depressive symptoms, and their interaction to the use of alcohol (including binge drinking), cigarettes, and marijuana. Moderation by age and sex was tested. The interaction of conduct problems with depressive symptoms was a strong predictor of substance use, particularly among younger adolescents. With few exceptions, adolescents with high levels of both conduct problems and depressive symptoms used substances most frequently. Conduct problems were a strong positive predictor of substance use, and depressive symptoms were a weak positive predictor. Whereas conduct problems are often thought to be a primary predictor of substance use, this study revealed that depressive symptoms potentiate the relation of conduct problems to substance use. Therefore, substance use prevention efforts should target both depressive symptoms and conduct problems.