This study identifies characteristics associated with problem substance use among 1,187 patients with either depressive symptoms (44%) or depressive disorders (56%) in primary care clinics of six managed care organizations. Sedative misuse (reported by 14% of all patients) was associated with greater wealth, social phobia, and misuse of prescription opioids. Cannabis use (11%) was associated with younger age, male gender, single marital status, white ethnicity, less education, recurrent depression, agoraphobia, and hazardous alcohol use. Hazardous drinking (11%) was significantly associated with younger age, male gender, single marital status, and cannabis use. Greater understanding of substance use problems in primary care patients with depressive symptoms and disorders may aid efforts to more quickly identify, educate, and provide services for those in need.