Adolescents who have experienced adversity have an increased likelihood of using substances. This study examined if individual-, family-, school-, and community-level protective factors were associated with a decreased likelihood of substance use. Data from the Well-Being and Experiences Study (the WE Study) collected from 2017 to 2018 were used. The sample was adolescents aged 14 to 17 years (N = 1002) from Manitoba, Canada. Statistical methods included descriptive statistics and logistic regression models. The prevalence of past 30-day substance use was 20.5% among boys and 29.2% among girls. Substance use was greater among adolescent girls compared to boys. Protective factors associated with an increased likelihood of not using substances included knowing culture or language, being excited for the future, picturing the future, sleeping 8 to 10 h per night (unadjusted models only), participating in non-sport activity organized by the school, having a trusted adult in the family, frequent hugs from parent, parent saying “I love you” (unadjusted models only), eating dinner together every day, mother and father understanding adolescent’s worries and problems, being able to confide in mother and father, feeling close to other students at school, having a trusted adult at school, feeling a part of school, having a trusted adult in the community (unadjusted models only), volunteering once a week or more, and feeling motivated to help and improve one’s community. Knowledge of protective factors related to decreased odds of substance use may help inform strategies for preventing substance use and ways to foster resilience among adolescents.