Substance use initiation in adolescence is a critical issue, given its association with substance dependency and associated problems in adulthood. However, due to the dearth of fine‐grained longitudinal studies, the factors associated with early initiation are poorly understood, especially in minority youth. The present study examined substance use initiation in a sample of Mexican‐origin youth (n = 674) assessed annually from age 10 to 16. Using discrete‐time survival analyses, we found that initiation escalated rapidly from late childhood to adolescence, and we identified a wide range of factors, from the individual to the cultural level of analysis, that significantly increased or decreased risk for early initiation. These findings have important implications for programs aimed at preventing early substance use by Mexican‐origin youth.