Adolescence is considered to be the most important period for the prevention of substance use and misuse (SUM). The aim of this study was to investigate the problem of SUM and to establish potentially important factors associated with SUM in Kosovar adolescents. Multi-stage simple random sampling was used to select participants. At the end of their high school education, 980 adolescents (623 females) ages 17 to 19 years old were enrolled in the study. The prevalence of smoking, alcohol consumption (measured by Alcohol Use Disorder Identification Test–AUDIT), and illegal drug use (dependent variables), as well as socio-demographic, scholastic, familial, and sports-related factors (independent variables), were assessed. Boys smoke cigarettes more often than girls with daily-smoking prevalence of 16% among boys and 9% among girls (OR = 1.85, 95% = CI 1.25–2.75). The prevalence of harmful drinking (i.e., AUDIT scores of >10) is found to be alarming (41% and 37% for boys and girls, respectively; OR = 1.13, 95% CI = 0.87–1.48), while 17% of boys and 9% of girls used illegal drugs (OR = 2.01, 95% CI = 1.35–2.95). The behavioral grade (observed as: excellent–average-poor) is the factor that was most significantly correlated with SUM both in boys and girls, with lower behavioral grades among those adolescents who consume substances. In girls, lower maternal education levels were associated with a decreased likelihood of SUM, whereas sports achievement was negatively associated with risky drinking. In boys, sports achievement decreased the likelihood of daily smoking. Information on the factors associated with SUM should be disseminated among sports and school authorities.