The prevalence of substance use among adolescents at the First Episode Mood and Anxiety Program (FEMAP) in London, Ontario, was compared to a regional sample of adolescents who completed the 2009 Ontario Student Drug Use and Health Survey (OSDUHS). Relative-risk ratios were calculated to assess the comparability between FEMAP and OSDUHS adolescents on parallel substance use items selected from intake measures at FEMAP that matched items on the 2009 OSDUHS. FEMAP adolescents were more likely to use cigarettes, cannabis, hallucinogens, cocaine, and sedatives or sleeping pills. Rates of substance use were relatively similar between FEMAP adolescents and a subpopulation of the normative sample who reported having sought help for mental health problem(s). Adolescents seeking help for mood and/or anxiety problems appear at higher risk for using certain substances than their peers. Early intervention programs should screen adolescents with mood and/or anxiety problems for a wide range of substance use.