Psychological distress has been inconsistently associated with sexual risk behavior in youth, suggesting additional factors, such as substance use, may explain this relationship. The mediating or moderating role of substance use on the relationship between psychological distress and sexual risk behaviors was prospectively examined over the four high school years in a sample of urban youth (N = 850; 80% African American; 50% female). Growth curve modeling was used to estimate changes in sexual risk across adolescence and to test its association to psychological distress symptoms and frequency of substance use. Substance use was associated with psychological distress. Greater psychological distress was associated with increased sexual intercourse frequency, decreased condom use, and increased number of partners. Substance use fully mediated the relationship between psychological distress and intercourse frequency and condom use, and partially mediated the relationship between psychological distress and number of partners. We found no differences in mediation by sex or race/ethnicity and no evidence to support moderation of psychological distress and substance use on sexual risk. Findings suggest that psychological distress is associated with sexual risk because youth with greater psychological distress are also more likely to use substances. Practical implications for adolescent HIV/STI prevention are discussed.