In the first known longitudinal study of the topic, we examined whether experiencing sexual assault or sexual harassment while in the military was associated with increased risk for subsequent unhealthy alcohol use and smoking among U.S. service members in the Millennium Cohort Study (2001–2012). Adjusted complementary log–log models were fit to estimate the relative risk of (a) smoking relapse among former smokers (men: n = 4,610; women: n = 1,453); (b) initiation of unhealthy alcohol use (problem drinking and/or drinking over recommended limits) among those with no known history of unhealthy alcohol use (men: n = 8,459; women: n = 4,816); and (c) relapse among those previously reporting unhealthy alcohol use (men: n = 3,487; women: n = 1,318). Men who reported experiencing sexual assault while in the military had sixfold higher risk for smoking relapse: relative risk (RR) = 6.62; 95% confidence interval (CI) [2.34, 18.73], than men who did not. Women who reported experiencing sexual assault while in the military had almost twice the risk for alcohol relapse: RR = 1.73; 95% CI [1.06, 2.83]. There were no other significant associations. These findings suggest that men and women may respond differently following sexual trauma, and support future concerted policy efforts by military leadership to prevent, detect, and intervene on sexual assault.