Social anxiety disorder (SAD) is highly comorbid with alcohol use disorders (AUDs) and cannabis dependence. However, the temporal sequencing of these disorders has not been extensively studied to determine whether SAD serves as a specific risk factor for problematic substance use. The present study examined these relationships after controlling for theoretically-relevant variables (e.g., gender, other Axis I pathology) in a longitudinal cohort over approximately 14 years. The sample was drawn from participants in the Oregon Adolescent Depression Project. After excluding those with substance use disorders at baseline, SAD at study entry was associated with 6.5 greater odds of cannabis dependence (but not abuse) and 4.5 greater odds of alcohol dependence (but not abuse) at follow-up after controlling for relevant variables (e.g., gender, depression, conduct disorder). The relationship between SAD and alcohol and cannabis dependence remained even after controlling for other anxiety disorders. Other anxiety disorders and mood disorders were not associated with subsequent cannabis or alcohol use disorder after controlling for relevant variables. Among the internalizing disorders, SAD appears to serve as a unique risk factor for the subsequent onset of cannabis and alcohol dependence.