Substance use in adolescence is associated with multiple negative outcomes. Lesbian, gay, or bisexual or transgender or nonbinary (TNB) youth, and those who question their sexual orientation or gender, are more likely to engage in substance use than straight or cisgender youth. However, the extant literature largely considers sexual orientation and gender identity independently. Accordingly, this study examines the associations between the intersectional identities of sexual orientation and gender and substance use to identify those with the greatest need for prevention interventions. Data were from 36 504 high school students aged 14 to 18 years (mean = 15.7, SD = 1.18) enrolled in the 2019 Healthy Kids Colorado Survey using a statewide stratified random sampling design. Logistic regression models examined the associations between intersectional sexual orientation and gender on marijuana use, prescription drug misuse, and polysubstance use, as well as depression and violence victimization (eg, forced sex, partner violence). Adjusted odds of substance use for sexual and gender minority youth varied by intersectional identity and substance. The largest effect sizes were seen for prescription drug misuse, especially among those questioning their gender and sexual orientation and heterosexuals either questioning their gender or who identified as TNB. Effect sizes for marijuana use and polysubstance use were highest for TNB and heterosexual participants. Depression and violence victimization were significantly associated with each substance use outcome. Interventions to reduce substance use in these populations may benefit from targeted interventions for youth with different intersectional identities, and a focus on violence prevention and depression screening and treatment.