The identification of developmentally specific windows at which key predictors of adolescent substance use are most influential is a crucial task for informing the design of appropriately targeted substance use prevention and intervention programs. The current study examined effects of conduct problems and depressive symptomatology on changes in alcohol, cigarette, and marijuana from 8th through 12th grade. We examined the effects of relatively developmentally distal versus proximal mental health problems on adolescent substance use and tested for gender differences. With a national, longitudinal sample from the Monitoring the Future study (N = 3,014), structural equation modeling was used to test the effects of 8th and 10th grade conduct problems and depressive symptomatology on subsequent changes in alcohol, cigarette, and marijuana use from 8th through 12th grade. Results indicated that relatively distal (8th grade) mental health problems were stronger predictors of increases in alcohol, cigarette, and marijuana use than were relatively more proximal (10th grade) mental health problems. Eighth grade conduct problems had the strongest effects on alcohol and marijuana use, and 8th grade depressive symptomatology had the strongest effects on cigarette use. Few gender differences were observed. These results suggest that intervening in earlier appearing conduct problems and depressive symptomatology may lead to a reduction in adolescent substance use in 10th and 12th grades and beyond.