The substance use normalization thesis predicts that adolescent substance users are less likely to report substance use risk factors in high than in low prevalence countries. This study tests whether national population-level alcohol, cigarette and cannabis prevalence rates moderate the strength of the relationship between individual level social and behavioral risk factors and individual level alcohol, cigarette and cannabis use. Data from 2009/2010 Health Behaviour in School-Aged Children Study (N = 68,045, age = 15) from 35 countries was analyzed using logistic Hierarchical Linear Modeling. As expected based on low cannabis prevalence rates in all countries studied, no evidence of normalization was found for recent cannabis use. Also in line with the normalization thesis, results show that for substance use that reaches above 40% in at least some of the countries studied (drunkenness, alcohol and cigarette use), adolescents who reported use are less likely to report social and behavioral risk factors in high prevalence countries than in low prevalence countries. However, support for the normalization thesis was only partial in that results show that in models where evidence for normalization was found, there are risk factors that predict substance use to an equal degree regardless of country level prevalence rates. The current research shows that the normalization thesis is a useful framework for understanding the contextual aspects of adolescent alcohol, tobacco, and cannabis use. The study has implications for drug prevention as it suggests that selective prevention efforts may be particularly useful in low prevalence countries where screening based on risk factors may usefully identify adolescents at most risk for developing drug use problems. This approach may be less useful in high prevalence countries where screening based on risk factors is less likely to satisfactorily identify those at risk for developing drug use problems.