The main objective of this study was to analyze the influence and the differential weight of certain psychological variables (self-concept and depression, other characteristics of personality and of antisocial behavior and ethical-moral values) in drug use by adolescents. A sample of 1.570 adolescents of both sexes was used (54.4% men and 45.6% women) belonging to the Autonomous Community of Madrid. The results showed that several substances of use studied were empirically grouped into three factors called: «legal drugs», «illegal drugs» and «medical drugs». In turn, several stepwise regression analysis were carried out with each one of the three factors and it was pointed out that the main psychological risk factors to explain the use of legal drugs were self-esteem, presence of antisocial behaviors and desinhibition; on the contrary the most important protection factors were the presence of positive self-concept, a high level of sincerity and religious practice. Risk and protection factors for illegal and medical drugs were also analyzed. These data are taken into account when designing a prevention program for drug use.