We assessed relations among depression, conduct disorder, and drug use from adolescence to young adulthood, and evaluated whether exposure to violence contributed to disorder co-occurrence. We used data from the Project on Human Development in Chicago Neighborhoods. Respondents were 12–15 years old in 1995–1997 (N = 1,517), and were reinterviewed in 1997–2000 (n = 1,315), and 2000–2002 (n = 1,210). We examined exposure to violence at ages 12–15 and 14–17, and depression, conduct disorder, and drug use at ages 14–17 and 17–20. Multivariate transition models revealed an association between prior conduct disorder and drug use, as well as a relationship between prior depression and conduct disorder. Adolescent exposure to violence was associated with higher odds of conduct disorder and drug use but not depression. Comorbid relations between conduct disorder and drug use were independent of prior exposure to violence. Although preventing adolescent exposure to violence may reduce the risk of conduct disorder and drug use by young adulthood, future research needs to investigate alternative determinants of sequential comorbidity among depression, conduct disorder, and drug use in adolescence and young adulthood.