Although the comorbidity of drug abuse and psychological distress is well established in adult‐treatment samples, the directionality of this association is in question. There is less evidence that this relationship exists among community samples of adults. The prospective relationships between psychological distress and drug problems (e.g., alcohol, marijuana, and cocaine) were examined in a community sample of 470 adults. Results addressed three theories—self‐medication/self‐derogation, impaired functioning, and general deviance—to explain the relationship between drug use and psychological distress. Although the latent constructs of Polydrug Problems was largely unaffected by Psychological Distress and generally had no effect on Psychological Distress, several specific effects emerged. Providing support for the impaired‐functioning theory, adults who abused drugs early on experienced later impaired functioning, anxiety, suicidal ideation, psychoticism, hostility, and decreased purpose in life four years later. Providing support for both the self‐medication and self‐derogation theories, those who experienced aspects of psychological distress (e.g., dysphoria, suicidal ideation) reported drug problems four years later. Moderate cross‐sectional support was also found for the general deviance theory in that Social Conformity reduced or eliminated the associations between Polydrug Problems and the measures of psychological distress. Implications of these findings are discussed. © 1999 John Wiley & Sons, Inc.