This study examines (i) the relationships between substance use and parenting style and between substance use and perceived academic self-efficacy in early and middle adolescence, (ii) the importance of these factors in predicting adolescent substance use, and (iii) the role of academic self-efficacy in the relationship between parenting styles and adolescent substance use. The sample comprised 762 adolescents (53% boys) aged 12 to 16 years (M = 13.66, SD = 1.34). The sample was selected using probabilistic cluster sampling according to type of school (secondary, public vs. semiprivate) and school location in different areas of the city of Valencia (Spain). This approach accounted for different social strata of families. The results show that substance use and parents' neglect are greater in middle adolescence than in early adolescence. Support and family communication and perceived academic self-efficacy are lower. Substance use is positively related to parents' neglect, psychological control, and rejection. The relationships between neglect and psychological control and substance use are moderated by academic self-efficacy, and the relationship between psychological control and substance use is mediated by academic self-efficacy.