Sexual debut, or first intercourse, predicts problem behaviors such as substance use. This association could reflect a direct effect of debut itself, general developmental trends, or the fact that some youth are more predisposed to a wide array of problem behaviors (e.g., risky sex, substance use). Understanding the association between sexual debut and substance use thus requires methods that can distinguish between these various accounts. In this study the association between sexual debut and substance use was investigated in a longitudinal sample of Mexican-origin youth (N = 674) assessed annually from 5th (Mage = 10.86 years, SD = 0.51) through 12th grade (Mage = 17.69 years, SD = 0.48). The longitudinal aspect of the data allowed the direct effect of sexual debut on substance use to be tested while accounting for long-term trends in substance use, and stable individual differences in those trends based on early risk and debut timing. Substance use increased over time, and early risk and debut were consistently associated with more substance use. Sexual debut also modestly predicted an increase in substance use after accounting for these effects, however. Taken together, results provide some evidence consistent with each of the potential explanations for the association between sexual debut and substance use across adolescence.