Attention-deficit/hyperactivity disorder (ADHD) has been often found to be comorbid with other disorders, including anxiety, depression, and unhealthy behaviors such as drinking alcohol and smoking. These factors were often discussed separately, and the mediating effects of mental health on substance use are unknown. To study the mediating effects of anxiety and depression on the relationship between ADHD and drinking/smoking behaviors, we conducted a cross-sectional study of 1870 college students from Shanghai, China. The Adult ADHD Self-Report Scale (ASRS-v1.1) and Wender Utah Rating Scale (WURS) were used to identify the current and past ADHD. Structural Equation Modeling was carried out to clarify the mediating effect of anxiety and depression on the relationship between core ADHD symptoms and smoking/drinking behaviors. We found that inattention as one of the core symptoms of ADHD was associated with an increased risk of depression as a direct effect, as well as slightly increased risk of smoking/drinking behaviors by an indirect effect of depression. Hyperactivity-impulsivity, as another core symptom of ADHD had a robust impact on smoking and drinking behaviors, while being mediated by anxiety and depression. In conclusion, anxiety and depression was associated with further increased risk behaviors of smoking/drinking alcohol among those students with ADHD.