ABSTRACT The prevalence of depression and substance use changed significantly during the COVID-19 pandemic. The present study explored the association between the use of psychoactive substances and depression in Brazilian university students. This cross-sectional study was conducted between 2021 and 2022. A sample of 1271 students were assessed using the Patient Health Questionnaire-9 (PHQ-9) and Alcohol, Smoking and Substance Involvement Screening Test (ASSIST). Hierarchical multivariate logistic regression models were used to assess the association between tobacco use, alcohol consumption, illicit substance use, and depression. Among the participants, 424 (33.4%; 95%CI 30.7–36) screened positive for depression (PHQ-9 ≥ 10). Alcohol was the most consumed substance. Recent use of illicit substances was associated with depression (adjusted odds ratio [aOR] 1.59; CI 1.02–2.50). The pattern of moderate or high-risk tobacco use (aOR 2.11; CI 1.31–3.42), alcohol use (aOR 3.40; CI 2.29–5.06), and illicit substances (aOR 1.82; CI 1.15–2.89) were associated with higher chances of depression in adjusted models. Findings highlight the importance of implementing support for mental health among university students. These policies are crucial for addressing maladaptive behaviors, such as substance use, and for mitigating psychological distress, such as depression, which has been exacerbated during the pandemic.