Background: Adolescents and young adults are a crucial target group for preventing harm related to substance use. Recently, declining alcohol and tobacco consumption in young people has been observed in many countries. Based on survey data from 2004 to 2020, we describe time trends for several subgroups of adolescents and young adults (based on consumption levels and socioeconomic variables) and analyze associations between the level of alcohol per capita consumption or daily smoking and socioeconomic variables. Methods: Time trends for males and females are analyzed by a two-way ANOVA and predictors of use by using multivariate regression and logistic regression. Results: Alcohol per capita consumption decreased significantly for both sexes in the 16-year period, with male and female consumption levels converging. Daily smoking was equally prevalent for young males and females and decreased to a similar degree for both sexes. Being male and living in rural areas are associated with a higher level of alcohol consumption. Daily smoking is associated with a low level of education and is more prevalent among young adults who have already started to work. Conclusions: The decline in alcohol use and daily smoking among adolescents and young adults is taking place simultaneously. However, higher levels of alcohol consumption and daily smoking occur in different groups of adolescents and young adults, which should be considered in prevention strategies.