The significance of cross-national comparison of adolescent substance use is grounded in an approach recognizing that different cultures and countries provide very distinct social environments for youths. Comparative research is a valuable way to conduct natural experiments. Using data from two self-report surveys, the generalizability of the relationship between theoretically grounded measures and adolescent substance use was analyzed cross-nationally. Self-report data on adolescent substance use in the United States is provided by the 2003 wave of the Monitoring the Future (MTF) study. Data from the European School Survey Project on Alcohol and Other Drugs (ESPAD) study, designed to be directly comparable with the MTF survey, is used to analyze adolescent substance use in a sample of German adolescents. Findings and the usefulness of theoretical approaches to adolescent substance use in other cultures are discussed.