Depression among young adults is a significant mental health issue worldwide. Withdrawal from amphetamine and chronic alcohol use is associated with significant increases in depressive symptoms. Young adults with depressive symptoms are more likely to engage in sexual risk behaviors than peers who are not depressed. We investigated the association between substance abuse and sexual risk behaviors with recent depressive symptoms (using the Centers for Epidemiologic Studies Depression Scale [CES-D] scale) in a sample of 1189 young adults aged 18 to 25 years in Chiang Mai, Thailand, who were recruited based on recent methamphetamine use or were sex partners of a methamphetamine user. High reports of depressive symptoms, based on CES-D scores ≥22, were seen in 45% of women and 31% of men (P < 0.0001) and were associated with alcohol problems (Cut down, Annoyed, Guilty, Eye-opener [CAGE] score and frequency of drunkenness) and frequent methamphetamine use in men but not women. For women, higher depressive symptoms were associated with greater numbers of reported sexual partners during the past year where condoms were infrequently used. These results point to the importance of identifying substance abuse among young adults in Thailand and its contribution to depressive symptoms and the importance of recognizing depression as a significant public mental health problem in this population.