Gay, lesbian, and bisexual (GLB) youths report elevated levels of substance use relative to heterosexual youths, but reasons for this disparity have received scant attention. This report longitudinally examined three hypothesized explanations for cigarette, alcohol, and marijuana use among 156 GLB youths. Counter to two hypotheses, neither a history of childhood sexual abuse nor recent experiences of gay-related stressful life events were associated with increased substance use over time. However, the hypothesis concerning the coming-out process was supported by significant nonlinear associations of involvement in gay-related (recreational and social) activities with changes in alcohol use at 12 months and changes in marijuana use at 6 months and 12 months. Specifically, as involvement in gay-related activities increased, alcohol and marijuana use was found to initially increase, but then, substance use declined as involvement in gay-related activities continued to increase. These findings offer a potential explanation for high levels of substance use among GLB youths and suggest potential areas for intervention to prevent or decrease substance use among these youths.