Investigated group differences in the relationship between stress-coping variables and substance (cigarette, alcohol, and marijuana) use with samples of inner-city students in sixth through eighth grades (N = 1,289) and metropolitan-area students in seventh through ninth grades (N = 1,702). Measures included affect, life events, parental support, and coping patterns. African-American adolescents had the lowest rate of substance use, Hispanics were intermediate, and Whites had the highest rate; there was no gender difference in overall substance use. Multiple regression analysis showed the strength of predictive relationships for stress-coping variables was lower for African Americans and was greatest for Whites; four methodological tests showed these differences were not attributable to statistical artifacts. Hispanic adolescents showed greater vulnerability than Whites at younger ages but this effect reversed at later ages. Implications for prevention research are discussed.