The present study addresses whether sex moderates the effects of known risk and protective factors for alcohol and drug use. Simultaneously drawing on traditional delinquency theories and feminist theoretical insight, the authors first included product terms in regression equations for the total sample and then estimated separate regression equations for girls and boys to determine the extent to which the theoretical constructs differentially affected their substance use. In a large sample of 8th to 12th graders, stronger effects of peer approval, school bonds, and victimizations were evident in the equations for girls, while peer pressure mattered more for boys. Implications of moderated effects for theoretical and empirical developments are discussed.