Background: During adolescence, alcohol, tobacco, and other drug (ATOD) use is often initiated and may become an established pattern of behavior. These behaviors may result in substance abuse and may be used as a coping mechanism for dealing with psychological distress. Less is known about other risk factors such as weight status, physical activity, screen-time, and diet on mental health among middle school students. Therefore, the purpose of this study was to assess the relationship between early ATOD use and other health risk behaviors among psychological distressed middle school students residing in the southern U.S. Methods: Data for this study were derived from the 2021 Youth Risk Behavior Survey - Middle School edition (YRBS-MS). Chi-square analysis was used to describe the prevalence of self-reported psychological distress and ATOD use, weight status, physical activity, screen-time, and diet. Logistic regression was conducted to estimate the association between self-reported psychological distress and ATOD use, weight status, physical activity, screen-time, and diet controlling for sex, race, and grade in school. Results: Students who reported psychological distress were significantly more likely to have used alcohol (OR = 1.67, p = .006), electronic vape products (OR = 1.45, p = .05), and prescription pain medication without a prescription (OR = 3.93), p = .001. Additionally, those who reported psychological distress were significantly more likely to report being overweight (OR = 1.75, p = .001), not meeting screen time recommendations (OR = 1.97, p = .001), and inadequate consumption of breakfast (OR = 1.83, p = .001). Females were significantly more likely to report psychological distress. Conclusions: This research highlights the need for targeting both early ATOD use and other risk factors concurrently in prevention programs among middle school students who report psychological distress.