(1) Background: Cigarette smoking, risky alcohol consumption, and marijuana smoking are the most common behaviors related to legal and illicit drug use worldwide, including among university students. To plan effective evidence-based programs to prevent the risky consumption of these substances among university students, the present study aimed to identify potential sociodemographic and study-related risk groups and predictors of consumption. (2) Methods: A cross-sectional online health survey with approximately 270 health-related items was conducted among students at the University of Mainz, Germany. Cigarette smoking, risky alcohol consumption (AUDIT-C score: female ≥ 4, male ≥ 5), and marijuana smoking were chosen as dependent variables. Of the 270 health-related items, 56 were chosen as independent variables and collated into five groups (sociodemographic, psychological, study-related psychosocial, general psychosocial and health behavior). The prevalence of cigarette smoking, risky alcohol consumption, and marijuana smoking was assessed using established and validated instruments. Pearson's chi-square test was used to analyze the differences in prevalence between the sociodemographic and study-related groups, and binary logistic regression was used for analyses with stepwise inclusion of the five variable groups. (3) Results: Of the 3991 university students who entered the analyses, 14.9% reported smoking cigarettes, 38.6% reported risky alcohol consumption, and 10.9% reported smoking marijuana. The prevalence of these differed between genders, fields of study, and aspired degree level, among other factors. Binary logistic regression analyses revealed nine significant predictors ( ≤ 0.05) of cigarette smoking (Nagelkerke R = 0.314), 18 significant predictors of risky alcohol consumption (Nagelkerke R = 0.270), and 16 significant predictors of marijuana smoking (Nagelkerke R = 0.239). (4) Conclusions: This study showed cigarette smoking, risky alcohol consumption, and marijuana smoking among university students in Germany to be associated with multiple factors, especially health behaviors. Furthermore, each of the substances was highly associated with each of the two other substances we examined. Other variable groups, such as psychological or psychosocial variables, seemed to play a rather minor role. Therefore, our recommendation for future prevention programs is that substance use among university students should be addressed as a whole, not just in terms of specific substances.