Background: Factors explaining disparities in risk of substance use between immigrants and natives and between immigrant subgroups are poorly understood. We aimed to describe such disparities and identify some explanatory factors in Spain. Methods: Participants were residents aged 15–64 years from 2005 to 07 nationally representative surveys. Outcomes were prevalences of alcohol, tobacco, sedative-hypnotics, cannabis and other illegal substance use. Immigrants were recent if <5 years of Spanish stay and long term if ≥10 years. Country-of-origin income per capita and population level of substance use were taken from international databases. Adjusted prevalence ratios (aPRs) and percent change from Poisson regression with robust variance were used to estimate risk disparities and effects of immigration variables. Results: Most immigrants had lower substance use than natives, although it generally increased with increasing Spanish stay, especially for illegal substances. This lower risk could be partially explained by country-of-origin contextual factors as a lower level of income or substance use and religious or cultural factors such as Islam. By origin, recent immigrant aPRs and convergence–divergence risk patterns were, respectively, as follows: lower aPRs with upward convergence (often incomplete) toward natives’ risk in immigrants from Muslim area, Eastern-Europe and Latin-America excluding South-Cone, lower/similar aPRs with upward overtaking or divergent patterns in South-Cone Americans and similar/higher aPRs with stable or upward divergent patterns in Non-Eastern-Europeans. Conclusion: Spain is a host context that seems to facilitate increased substance use among immigrants, even those from countries with prevalences close to Spain. However, country-of-origin context is important in explaining disparities in substance use among immigrants.