We review and synthesize results from a series of analyses estimating the benefit of screening for unhealthy alcohol use, depression, and tobacco to detect individuals at heightened risk for co-occurring anxiety, pain, depression, unhealthy alcohol use, and other substance use among people with HIV and HIV-uninfected individuals in the Veterans Aging Cohort Study. We also examine the potential impact of reducing unhealthy alcohol use and depressive symptoms on the incidence of co-occurring conditions. We found that screening for alcohol and depression may help identify co-occurring symptoms of anxiety, depression, and pain interference, treating unhealthy alcohol use may improve co-occurring pain interference and substance use, and improving depressive symptoms may improve co-occurring anxiety, pain interference, and smoking. We propose that an integrated approach to screening and treatment for unhealthy alcohol use, depression, anxiety, pain, and other substance use may facilitate diagnostic assessment and treatment of these conditions, improving morbidity and mortality.