Cigarette use and binge drinking are risky behaviors emerging during adolescence. Although many beneficial factors are well documented, studies linking shyness to substance use are somehow conflicting, which may be due to the contribution of moderators. Therefore, the present study has 2 objectives: (a) to prospectively analyze the association between shyness and substance use during adolescence, and (b) to test the moderating role of peer group affiliation on the relationship between shyness and substance use. Participants are 1447 adolescents from the Quebec Longitudinal Study of Child Development, a representative cohort of single-birth children born between 1997 and 1998 in the province of Quebec, Canada. Shyness was assessed at age 12 years. Peer group affiliation, as well as past year cigarette use and binge drinking were assessed at age 15 years. Logistic regressions were used to analyze the data. All analyses were carried out using weighted data accounting for the complex multistage sample design. Results show that shyness negatively predicts the use of tobacco and the occurrence of binge drinking while controlling for confounding variables. However, shyness does not interact with peer group affiliation in predicting substance use. This is the first study that confirms the presence of a negative relationship between shyness and substance use during adolescence over a 3-year period. Results suggest that shyness could exert a beneficial effect against substance use notwithstanding the adolescent’s social context.