Epigenetic processes have been implicated in addiction; yet, it remains unclear whether these represent a risk factor and/or a consequence of substance use. Here, we believe we conducted the first genome-wide, longitudinal study to investigate whether DNA methylation patterns in early life prospectively associate with substance use in adolescence. The sample comprised of 244 youth (51% female) from the Avon Longitudinal Study of Parents and Children (ALSPAC), with repeated assessments of DNA methylation (Illumina 450k array; cord blood at birth, whole blood at age 7) and substance use (tobacco, alcohol and cannabis use; age 14-18). We found that, at birth, epigenetic variation across a tightly interconnected genetic network (n=65 loci; q<0.05) associated with greater levels of substance use during adolescence, as well as an earlier age of onset amongst users. Associations were specific to the neonatal period and not observed at age 7. Key annotated genes included PACSIN1, NEUROD4 and NTRK2, implicated in neurodevelopmental processes. Several of the identified loci were associated with known methylation quantitative trait loci, and consequently likely to be under significant genetic control. Collectively, these 65 loci were also found to partially mediate the effect of prenatal maternal tobacco smoking on adolescent substance use. Together, findings lend novel insights into epigenetic correlates of substance use, highlight birth as a potentially sensitive window of biological vulnerability and provide preliminary evidence of an indirect epigenetic pathway linking prenatal tobacco exposure and adolescent substance use.