Noncommunicable diseases (NCDs) and mental disorders cooccur in adulthood, which is why their determinants and common risk factors should be addressed at an early age. Therefore, we estimated the association of the major risk factors for NCDs with depression and suicide risk by structural equation modeling considering pathways triggered by social vulnerability or mediated by obesity. This population-based study included 2,515 Brazilian adolescents. The following exposures were the major risk factors for NCDs: substance use behaviors (variable deduced from alcohol, tobacco, and drug use), physical inactivity, and components of unhealthy eating markers (added sugar and saturated fat). Obesity was assessed using the fat mass index. The outcomes were depression and suicide risk. Depression was associated with substance use behaviors (SC = 0.304; p < 0.001), added sugar (SC = 0.094; p = 0.005), and females (SC = 0.310; p < 0.001). Suicide risk was also associated with substance use behaviors (SC = 0.356; p < 0.001), added sugar (SC = 0.100; p = 0.012), and females (SC = 0.207; p < 0.001). In adolescents, these associations may help explain the cluster of NCDs and mental disorders in adulthood.