Research indicates that subjective perceptions of socioeconomic status (SES) affect aspects of health and behavior. There has been little research attention to how objective (e.g., education) and subjective aspects of SES may differ in their influence on the substance use of adolescent immigrants. The present study examined whether the associations between subjective SES and substance use, and between parental education and substance use varied by immigrant generation. Data were derived from the 2011 Ontario Student Drug Use and Health Survey, a representative survey of students in the 7th to 12th grade. The sample for this study consisted of 9177 students 12–19 years of age; 48.4 % were female, 66.4 % were White/European, 5.2 % Black/Afro-Caribbean, 16.4 % Asian and 12 % other. Results indicated that subjective SES was more strongly associated with cannabis and alcohol use among first-generation immigrants than among adolescents of other immigrant generations even after adjusting for parental education. First-generation immigrants with low subjective SES had a lower probability of cannabis and regular alcohol use, but there was no difference in use between immigrant generations at high subjective SES. The associations between parental education and cannabis and alcohol use did not significantly vary with immigrant generation. The findings highlight the importance of status beliefs among adolescents, particularly among first-generation immigrants, and suggest that further research attention to such beliefs would enhance our understanding of SES and its links to adolescent health risk behaviors.