Nowadays, the adolescent population consumes substances that are harmful to health at an earlier age. Therefore, the present research aimed to (i) develop an explanatory model of tobacco, alcohol, and cannabis consumption on physical self-concept, social self-concept, and physical activity practice and (ii) contrast the model through a multi-group analysis according to the gender of the participants. For this purpose, descriptive, comparative, and cross-sectional research was carried out on adolescent students (M = 13.91; SD = 1.31, years), using the Self-Concept Form 5 Questionnaire, the Physical Activity Questionnaire for Adolescents (PAQ-A), and the State Survey on Drug Use in Secondary Education (ETUDES) for data collection. Findings revealed that the consumption of harmful substances has a positive impact on the social area and the practice of physical exercise, showing a negative relationship between the latter variable and the social and physical area of self-concept.