Substance use disorder is on the rise; it has increased massively during the COVID-19 lockdown and has been found as a risk factor for depressive symptoms and major depressive disorder. Less is known about the hypothetical moderating effect of social support in that association. Three thousand five hundred Spanish adults were interviewed by phone during the COVID-19 lockdown (May-June 2020). The 8-item Patient Health Questionnaire Depression Scale (PHQ-8) was used to measure the symptoms of depression. The CAGE Adapted to Include Drugs (CAGE-AID) questionnaire was used to assess substance use disorder during the previous month. Social support was measured through the Oslo Social Support Scale (OSSS-3). Regression models were constructed to assess factors related to depressive symptoms. People with substance use disorder (alcohol and drugs) showed considerable high levels of depressive symptoms, particularly among those with low levels of social support, which reported levels above major depressive disorder cut-off.