Adolescence is the most critical life stage for experimentation with substance use; however, this is also the most suitable period for strengthening protective factors and thus promoting adult physical and mental health. Since smoking and drinking still appear among the most frequent types of substance abuse in Europe, this study aims to examine the role of potential protective factors at multiple levels for adolescent smoking and drinking: psychological factors at the individual level, aspects of school attachment at the school level, social support variables at the social level, and measures of quality of life at the level of mental health. This cross-sectional survey involved a sample of adolescents (aged 11–18 years, N = 276) in Budapest and villages in its metropolitan area (Hungary). In addition to descriptive statistics, logistic regression analyses were used to detect odds for potential protective factors. There were no sex differences in adolescents’ substance use. Self-control seems to be a universal and most determining protective factor against substance use, while other potential protective factors (self-esteem, resilience, social support from family or significant others, school attachment, and mental well-being) may also contribute to prevention. However, age and friend support acted as risk factors. Findings suggest that a complex approach to prevention should receive consideration.