This study tested whether violent victimization by peers was associated with alcohol and tobacco use among adolescents, and whether adaptive coping styles moderated associations. A total of 247 urban Mexican-American and European-American adolescents aged 16-20 years were interviewed. Independent of demographics and violent perpetration, adolescents victimized by violence reported greater alcohol and tobacco use. Adolescents who engaged in higher levels of behavioral coping (e.g., problem solving) reported less substance use, independent of violence variables. Interaction effects showed that violent victimization was associated with greater substance use only among adolescents who engaged in lower levels of cognitive coping (e.g., focusing on positive aspects of life). Substance use was relatively low among adolescents who engaged in higher levels of cognitive coping, regardless of whether they had been victimized. Enhancement of cognitive coping skills may prevent engagement in substance use as a stress response to violent victimization.