Studies suggest that religion is a protective factor for substance misuse and mental health concerns among Black/African American youth despite reported declines in their religious involvement. However, few studies have investigated the associations among religion, substance misuse, and mental health among Black youth. Informed by Critical Race Theory, we evaluated the correlations between gender, depression, substance misuse, and unprotected sex on mental health. Using multiple linear regression, we assessed self-reported measures of drug use and sex, condom use, belief in God, and religiosity on mental health among a sample of Black youth (N = 638) living in a large midwestern city. Results indicated drug use, and sex while on drugs and alcohol, were significant and positively associated with mental health symptoms. Belief in God was negatively associated with having sex while on drugs and alcohol. The study’s findings suggest that despite the many structural inequalities that Black youth face, religion continues to be protective for Black youth against a myriad of prevalent problem behaviors.