The relationship of self-esteem and depression with alcohol, tobacco, and other drug (ATOD) use was tested in a California statewide sample of more than 4,300 Asian American high school students comprising five subgroups: Chinese, Japanese, Korean, Filipino, and Vietnamese. Estimated prevalence rates of alcohol, tobacco, and marijuana use among males and females from these Asian American subgroups are presented. Correlations revealed that cigarette, alcohol, and marijuana use were generally more related to high depression and low self-esteem in females than in males. Logistic regression analysis with only the female subjects investigated whether the relationship between the psychological variables and ATOD use was maintained even after controlling for traditionally important constructs in ATOD use (grade level in school, born in the United States, ethnicity, and ATOD use by friends). These results indicated that for females, depression was significantly related to alcohol and tobacco use, but self-esteem was not. Neither self-esteem nor depression was a significant contributor to marijuana use. Issues related to the application of these results are discussed.