In this paper, we examine the effects of age at first substance use, and history of psychiatric disorders, on the development of substance use disorder (SUD) by age 16. We use a prospective, longitudinal design to disaggregate the effects of age at first use and time since first use on the development of adolescent SUD. Second, we test the hypothesis that adolescent SUD is an unlikely progression from early substance use unless children also show other early conduct problems. A population sample of 1,420 children from the Great Smoky Mountains Study (GSMS) was assessed annually between ages 9 and 16. Logistic regression models were applied within the hierarchical Bayesian framework, where the covariate effects were described by time-varying parameters having a first-order auto-regressive prior distribution. Posterior analyses based on a Gibbs sampling approach revealed that, controlling for years of exposure, the risk of transition to SUD increased with age at onset for onsets before age 13, but began to fall for onset at 14. Among users, use alone, without early conduct problems, led to a 11% prevalence of SUD by age 16. Past conduct disorder (CD) had a strong additive effect at ages 13-15, but at age 16, when substance use and abuse became more normative, the excess risk from prior CD decreased. Boys, but not girls, with a history of depression were at increased risk of SUD. Anxiety increased the risk of SUD in girls at age 16, but not before that. Results only partially support the study hypothesis; early use was a major predictor of adolescent SUD even in the absence of CD.