The main purpose of this study was to examine relationships between sexual compulsivity, depression (including level of self-esteem) anxiety, and the use of tobacco, alcohol and drugs in a sample of 1,711 students from Serbia and Bosnia and Herzegovina. Sexual compulsivity, depression, and anxiety were measured with standardized scales and inventories (the Sexual Compulsivity Scale – SCS, the Beck Depression Inventory – BDI, and the Spielberger’s State-Trait Anxiety Inventory-Trait, STAI-T, respectively), whereas specific questions about tobacco, alcohol, and drug use were modified for the purpose of this study. Results indicated positive, significant but low correlations between sexual compulsivity and depression; sexual compulsivity and anxiety; and sexual compulsivity and substance use; whereas a low, negative but significant correlation was obtained between sexual compulsivity and self-esteem. The strongest predictor of sexual compulsivity was drug use; two other significant predictors were alcohol and depression. Limitations of the study are discussed in the end.