Though anxiety sensitivity (AS)-fear of anxiety-related experiences-is primarily tied to anxiety vulnerability, AS has also been prospectively associated with general negative affect and depression. Furthermore, depression has been longitudinally associated with different forms of substance use, and some AS subfactors (e.g., cognitive concerns) have been associated more consistently with depression and substance use than others. However, no previous study has investigated if longitudinal associations of AS with substance use may be mediated by depression or whether aspects of AS may be prospectively associated with substance use among adolescents. Hence, the present study tested depressive affect (the negative affective aspect of depression) as a prospective mediator of AS associations with substance use and examined longitudinal AS subfactor associations with substance use and problems. High school 9th graders (N = 2,877; Mage = 14.1 years; 55.3% female) completed self-report measures at baseline and at 6 months and 1 year later. Depressive affect mediated AS associations with subsequent alcohol, cigarette, electronic cigarette, cannabis, benzodiazepine, and opioid use. Also, AS cognitive and social concerns (vs. physical concerns) were more consistently associated with later depressive affect and substance use and problems. Current findings suggest that adolescents high in anxiety sensitivity tend to prospectively experience greater depressive affect, which in turn is related to a higher likelihood of engaging in several different forms of substance use. Thus, it is possible that interventions which target AS (particularly AS cognitive concerns) may help to treat or prevent depression and substance use among adolescents. (PsycInfo Database Record (c) 2024 APA, all rights reserved).