Nationally representative studies have shown that lesbian, gay, and bisexual adults have higher levels of substance use than heterosexual adults. In the military, substance use is often associated with adverse mental health outcomes and is often comorbid with other mental health conditions and adverse or harmful behaviors. Few military studies to date have comprehensively examined the relationship between sexual orientation, mental health, and substance use. Data from the 2018 Health-Related Behaviors Survey (n = 17,166) were used. Univariate and multivariable logistic regression models were used to examine the association between sexual orientation and substance use. Regression models were also used to examine whether measures of mental health moderate the relationship between sexual orientation and substance use. Compared to heterosexual individuals, lesbian and gay individuals were more likely to engage in illicit drug use (adjusted odds ratio = 3.27; 95% CI, 1.45 to 7.36). Bisexual individuals were more likely to binge drink (adjusted odds ratio = 1.37; 95% CI, 1.08 to 1.74). Individuals with moderate or serious psychological distress were more likely to report binge drinking or smoking tobacco. Individuals with serious psychological distress were more likely to use illicit drugs. None of the interactions tested in this study were statistically significant. Substance use in the military was more likely among sexual minority individuals compared to heterosexual individuals. These findings reflect the patterns of substance use seen in the general population. Increased levels of psychological distress were associated with both the lesbian, gay, and bisexual population in this study and self-reported substance use behaviors. Further investigation of health disparities by sexual orientation may inform more efficacious treatment and prevention programs.