Background: Adverse life events have been associated with gambling and substance use as they can serve as forms of escapism. Involvement in gambling and substance use can also place individuals in adversely stressful situations.Objectives: To explore potential male–female differences in the association between addictive behavior and adverse life events among an urban cohort of adolescents.Method: The study sample comprised of 515 adolescent participants in a randomized prevention trial. With self‐reported data, four addictive behavior groups were created: nonsubstance users and nongamblers, substance users only, gamblers only, and substance users and gamblers. Multinomial logistic regression analyses with interaction terms of sex and adverse life events were conducted.Results: Adverse life events and engaging in at least one addictive behavior were common for both sexes. Substance users and gamblers had more than twice the likelihood of nonsubstance users and nongamblers to experience any event as well as events of various domains (ie, relationship, violence, and instability). Neither relationship nor instability events’ associations with the co‐occurrence of substance use and gambling significantly differed between sexes. Conversely, females exposed to violence events were significantly more likely than similarly exposed males to report the co‐occurrence of substance use and gambling.Conclusion: Findings from the current study prompt future studies to devote more attention to the development of effective programs that teach adaptive coping strategies to adolescents, particularly to females upon exposure to violence. (Am J Addict 2012;21:516–523)