The Veterans Health Administration (VHA), under the U.S. Department of Veterans Affairs (VA), is one of the largest single providers of health care in the U.S. VA supports an embedded research program that addresses VA clinical priorities in close partnership with operations leaders, which is a hallmark of a Learning Health System (LHS). Using the LHS framework, we describe current VA research initiatives in mental health and substance use disorders that rigorously evaluate national programs and policies designed to reduce the risk of suicide and opioid use disorder (data to knowledge); test implementation strategies to improve the spread of effective programs for Veterans at risk of suicide or opioid use disorder (knowledge to performance); and identify novel research directions in suicide prevention and opioid/pain treatments emanating from implementation and quality improvement research (performance to data). Lessons learned are encapsulated into best practices for building and sustaining an LHS within health systems, including the need for early engagement with clinical leaders; pragmatic research questions that focus on continuous improvement; multi-level, ongoing input from regional and local stakeholders, and business case analyses to inform ongoing investment in sustainable infrastructure to maintain the research-health system partnership. Essential ingredients for supporting VA as an LHS include data and information sharing capacity, protected time for researchers and leaders, and governance structures to enhance health system ownership of research findings. For researchers, incentives to work with health systems operations (e.g., retainer funding) are vital for LHS research to be recognized and valued by academic promotion committees.