Childhood callous-unemotional (CU) traits are associated with a neurocognitive response style of high reward and low punishment sensitivity, which may make these children particularly vulnerable to substance misuse. However, the mechanisms explaining the link between CU traits and substance use are poorly understood. This study investigated the mediating influences of reward and punishment sensitivity on the association between childhood CU traits and adolescent substance use. Using data from the UK Millennium Cohort Study, mediation analyses were conducted to investigate the potential indirect effects of age 14 reward and punishment sensitivity in risk-taking on the relationships between age 11 CU traits and alcohol, cannabis, and other illicit drug use at age 17. No direct effects of CU traits on substance use were found when accounting for gender, baseline alcohol use, poverty, emotional symptoms, conduct problems, hyperactivity, and verbal ability at age 11. Indirect effects of increased reward sensitivity on the relationship between CU traits and increased use were seen for alcohol, cannabis, and other drugs. There was a significant indirect effect of reduced punishment sensitivity on the relationship between CU traits and increased alcohol use, but not cannabis or other substance use. Findings suggest that reward and punishment sensitivity may have independent effects on decision-making processes contributing to adolescent substance use. Prevention and early intervention for substance use should consider modifying intervention strategies to fit the needs of adolescents with a callous interpersonal style and a neurocognitive profile characterized by a high drive for rewards and low risk aversion.