This study analyzed the association between different types of violence victimization and ultra-processed food (UPF) consumption and explored the mediating role of alcohol, tobacco, and illicit drug use on these associations. Cross-sectional study with Brazilian students aged 13–17. Participants reported their UPF consumption, bullying and physical aggression victimization, and use of alcohol, tobacco, and illicit drugs in the last month. Generalized linear regression models and mediation analyses were adjusted for the main confounders. A total of 96,396 adolescent students (52.2% female) were analyzed. In adjusted analyses, the number of UPF consumed was higher in those experiencing bullying victimization (β = 0.18; 95% confidence interval, CI: 0.09, 0.27), aggression from parents or guardians (β = 0.27; 95% CI: 0.16, 0.38) and aggression from others (β = 0.31; 95% CI: 0.13, 0.49). The adjusted mediation models showed that these associations were partially mediated by alcohol, tobacco and illicit drug use. Among adolescents, exposure to violence victimization might potentially drive a rise in the consumption of UPF. Such associations are partially influenced by an increased use of psychoactive substances.