Adolescence is a period of life during which many people experiment with different kinds of legal and illegal substances. However, young people practising physical activities at a high level should avoid taking such substances. On the basis of a large sample of Swiss male recruits (C-SURF baseline data), we explore the consumption of substances among three subgroups of young adults, defined according to level of physical activity: high, medium, and low. Our results show that respondents classified into the high level of physical activity group went through the same experimentation processes with substances as respondents in the other groups, but that they reduced their overall consumption level, as indicated by measures regarding the last 12 months only. However, substantial differences are observed when we look at each substance separately. In particular, smokeless tobacco products are consumed more in the high group, and alcohol consumption is high in all groups. Physical activity, even at a high level, is not a protective factor against substance consumption. Therefore, physicians should not forget to investigate substance use among people with high levels of physical activity, especially since their consumption can (1) differ from the general population; and (2) have important consequences on their physical performance.