Background Studies show depressive symptoms are associated with substance use in adolescents, but the mechanism underlying this association is still unclear. This study investigated negative urgency – the disposition to rash action during emotional states – as a factor explaining relations between depressive symptoms and use of several substances. Methods In this cross-sectional study, 476 adolescents (mean age 14.5 years) completed self-report surveys. Regression models and products of coefficient analyses examined the overall relation of depressive symptoms to substance use and negative urgency as a statistical mediator of this association Results Depression levels associated with increased likelihood of lifetime use of cigarettes, other forms of tobacco, marijuana, alcohol, inhalants, prescription painkillers, and any substance. Relations between depression levels and lifetime use of alcohol, inhalants, and any substance were accounted for (i.e., statistically mediated) by negative urgency. In adolescents endorsing lifetime use, depression levels associated with younger age of first use of other forms of tobacco and alcohol as well as use frequency of cigarette, alcohol, and composite frequency. Negative urgency accounted for the covariance between depression level and age of first use of alcohol, but did not for other forms of tobacco or frequency of use of any substances. Conclusions Depression levels are associated with lifetime use of a variety of substances in early adolescence and targeting this risk factor with preventive efforts may be useful in reducing risk. Negative urgency may be an important target for interventions aimed at alcohol and inhalant use.