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Little data have been published on specific health indicators for Roma, especially on substance use and related problems, and to our knowledge no data are available for Roma adolescents. The objective was to assess substance use of Roma as compared with non-Roma adolescents. Prevalence of tobacco and illicit drug use, and alcohol intoxication were examined in 225 Roma and 182 non-Roma adolescents. Relationship between substance use and potential risk factors, and ethnicity, was investigated by logistic regression analyses. A matched sample of Roma and non-Roma subjects was also used for additional confirmatory conditional regression analyses. Results indicated a significant association between Roma ethnicity and higher lifetime prevalence of tobacco use, alcohol intoxication, and illicit drugs use. Roma girls as compared with non-Roma girls evidenced a disproportionately higher prevalence of smoking as compared with the difference between Roma and non-Roma boys. Chi square analyses showed for both Roma parents a higher level of tolerant attitude to smoking. The inequalities of the health status in substance use behaviors of the Roma versus non-Roma population, expressed in a more pronounced way in the female Roma population, emerge at an early age, based on our data; they are observable already in the early adolescent and adolescent age groups.