Problematic substance use is associated with depression. Clarifying the relationship between substance use and depression remains an important research goal, with implications for prevention and treatment. Individual differences in the ability to tolerate negative physical and emotional sensations were hypothesized to play a role in substance use behaviors among depressed individuals. The present study investigated the roles of discomfort and distress tolerance in the relationship between alcohol and cannabis problems and depression among undergraduates ( N = 265). Consistent with other reports, depression was correlated with alcohol and cannabis problems. As predicated, distress tolerance mediated the relationships between depression and alcohol and cannabis problems. Interestingly, discomfort intolerance moderated the relationship between depression and cannabis problems such that depressed individuals with high discomfort tolerance were most vulnerable to cannabis problems. These data suggest that distress intolerance may at least partially account for alcohol and cannabis problems among depressed young adults whereas discomfort intolerance may actually serve a protective role in the development of cannabis problems.