The use of multiple legal and illegal substances by adolescents is a growing concern in all countries, but since no consensus about a taxonomy did emerge yet, it is difficult to understand the different patterns of consumption and to implement tailored prevention and treatment programs directed towards specific subgroups of the adolescent population. Using data from a Swiss survey on adolescent health, we analyzed the age at which ten legal and illegal substances were consumed for the first time ever by applying a method combining the strength of both automatic clustering and use of substance experts. Results were then compared to 30 socio-economic factors to establish the usefulness of and to validate our taxonomy. We also analyzed the succession of substance first use for each group. The final taxonomy consists of eight groups ranging from non-consumers to heavy drug addicts. All but four socio-economic factors were significantly associated with the taxonomy, the strongest associations being observed with health, behavior, and sexuality factors. Numerous factors influence adolescents in their decision to first try substances or to use them on a regular basis, and no factor alone can be considered as an absolute marker of problematic behavior regarding substance use. Different processes of experimentation with substances are associated with different behaviors, therefore focusing on only one substance or only one factor is not efficient. Prevention and treatment programs can then be tailored to address specific issues related to different youth subgroups.