Substance use initiation during early adolescence is associated with later development of substance use and mental health disorders. This study used various domains to predict substance use initiation, defined as trying any nonprescribed substance (e.g., alcohol, tobacco, cannabis), by age 12, using a large longitudinal data set. Substance-naive youths from the Adolescent Brain Cognitive Development Study (ages 9-10; N=6,829) were followed for 3 years. A total of 420 variables were examined as predictors of substance use initiation, using a penalized logistic regression with elastic net; domains spanned demographic characteristics, self and peer involvement with substance use, parenting behaviors, mental and physical health, culture and environment, hormones, neurocognitive functioning, and structural neuroimaging. By age 12, 982 (14.4%) children reported substance initiation, with alcohol being the most common. Models with only self-report predictors had similar prediction performance to models adding hormones, neurocognitive factors, and neuroimaging predictors (AUCtest=0.66). Sociodemographic factors were the most robust predictors, followed by cultural and environmental factors, physical health factors, and parenting behaviors. The top predictor was a religious preference of Mormon (coefficient=-0.87), followed by a religious preference for Jewish (coefficient=0.32), and by Black youths (coefficient=-0.32). Sociodemographic variables were the most robust predictors of substance use initiation. Adding resource-intensive measures, including hormones, neurocognitive assessment, and structural neuroimaging, did not improve prediction of substance use initiation. The application of these large-scale findings in clinical settings could help to streamline and tailor prevention and early intervention efforts.