Sedentary behavior has been found to be associated with poorer mental health. The aim of this study was to estimate associations of sedentary behavior with psychological distress and substance use among adolescents in five Southeast Asian countries. The cross-sectional sample included 32,696 nationally representative samples of school-going adolescents (median age 14 years) from Indonesia, Laos, Philippines, Thailand and Timor-Leste. Leisure-time sedentary behavior, physical activity, psychological distress and substance use were assessed by self-report. Overall, the students engaged in <1 h (35.7%), 1–2 h (31.6%), 3–4 h (18.2%), 5–6 h (7.2%), and 7 or more hours (7.2%) of sedentary time a day. The prevalence of psychological distress was 14.6% single and 8.6% multiple psychological distress, and the prevalence of current tobacco use was 13.9% and current alcohol use 12.5%. In fully adjusted multinomial logistic regression analysis, compared to students who spent less than one hour a day engaged in sedentary leisure time, students who spent three or more hours engaged in leisure-time sedentary behavior were more likely to have single and multiple psychological distress. In fully adjusted logistic regression analysis, five or more hours of leisure-time sedentary behavior was associated with current tobacco use and one or more hours of leisure-time sedentary behavior with current alcohol use. Findings suggest an association of leisure-time sedentary behavior with psychological distress and with substance use in this adolescent population.