Relatively common behavioral patterns in adolescence are problematic use of video games (PG), social media (PSMU) or alcohol (PAU). According to theoretical models, personality traits are relevant for Internet-related problematic behaviors. In the present study, associations of the Big Five personality domains and their 15 facets with PG, PSMU and PAU were compared for the first time. Therefore, 492 adolescents (mean age: 16.83 years) were examined with the established Big Five Inventory-2 as well as other standardized questionnaires on PG, PSMU and PAU. For statistical evaluation, correlation analyses were used as bivariate procedures and multiple regression analyses as multivariable procedures. At the personality domain level, consistently in bivariate and multivariate analyses, statistically significant associations between higher Negative Emotionality (Neuroticism) and PG, PSMU and PAU as well as between lower Open-Mindedness and PG and PAU were observed. At the level of facets, higher Anxiety (facet of Negative Emotionality) was related to PG and PSMU as well as lower Aesthetic Sensitivity (facet of Open-Mindedness) and lower Productiveness (facet of Conscientiousness) to PG. Considering the overlap of 95% confidence intervals, very comparable patterns of associations between PG, PSMU and PAU and the Big Five and their facets were observed in adolescence (indicating similarities in etiology).