Concurrent smoking and harmful drinking (CSHD) in adolescence is an important public health and social problem, while participation in sports is considered as being protective against CSHD. This study aimed to prospectively evaluate the influence of various facets of sports participation on the prevalence of and initiation into CSHD of adolescents. Participants were adolescents from southern Croatia (n = 711, 43.6% females, 16 years of age at study baseline), who were tested at baseline and at follow-up (two years later). Variables included gender, age, sports factors (participation in individual and team sports, sport experience, competitive success, intensity of involvement in sports), and CSHD. The CSHD prevalence did not increase significantly over the course of the study (from 5.6% to 7.5%, p > 0.05). Binomial logistic regression with age and gender as covariates suggested that team sports participation correlated to CSHD prevalence at baseline, and follow-up, with higher risk for CSHD among those adolescents who quit team sports (OR = 9.18 and 2.68, 95%CI = 2.04–22.26 and 1.05–6.83 for baseline and follow-up, respectively), and those never involved in team sports (OR = 9.00 and 3.70, 95%CI = 2.07–39.16 and 1.57–8.72 for baseline and follow-up, respectively). A higher risk of CSHD at baseline was seen among those adolescents who were involved in sports for longer (OR = 1.66, 95%CI = 1.16–2.38). The results are discussed in the context of the fact that the study included adolescents at the age of rigid sports selection (the transition from youth to professional-level sports). Since the majority of participants began CSHD at an earlier age, further studies in subjects of a younger age range are warranted.