There is a growing interest in education as a means to reduce HIV infection in vulnerable children in sub-Saharan Africa; however, the mechanisms by which education reduces HIV infection remain uncertain. Substance use has been associated with high-risk sexual behaviour and could lie on the causal pathway between education and HIV risk. Therefore, we used multivariable regression to measure associations between: (i) orphanhood and substance use (alcohol, recreational drugs, and smoking), (ii) substance use and sexual risk behaviours, and (iii) school enrolment and substance use, in adolescents aged 15–19 years, in Eastern Zimbabwe. We found substance use to be low overall (6.4%, 3.2%, and 0.9% of males reported alcohol, drug, and cigarette use; <1% of females reported any substance use), but was more common in male maternal and double orphans than non-orphans. Substance use was positively associated with early sexual debut, number of sexual partners, and engaging in transactional sex, while school enrolment was associated with lower substance use in males. We conclude that education may reduce sexual risk behaviours and HIV infection rates among male adolescents in sub-Saharan Africa, in part, by reducing substance abuse.