The combination of substance use and psychiatric disorders is one of the most common comorbidities. The objective of this study was to perform a genome-wide association study of this comorbidity (Com), substance use alone (Subs), and psychiatric symptomatology alone (Psych) in the Mexican population. The study included 3914 individuals of Mexican descent. Genotyping was carried out using the PsychArray microarray and genome-wide correlations were calculated. Genome-wide associations were analyzed using multiple logistic models, polygenic risk scores (PRSs) were evaluated using multinomial models, and vertical pleiotropy was evaluated by generalized summary-data-based Mendelian randomization. Brain DNA methylation quantitative loci (brain meQTL) were also evaluated in the prefrontal cortex. Genome-wide correlation and vertical pleiotropy were found between all traits. No genome-wide association signals were found, but 64 single-nucleotide polymorphism (SNPs) reached nominal associations (p < 5.00e-05). The SNPs associated with each trait were independent, and the individuals with high PRSs had a higher prevalence of tobacco and alcohol use. In the multinomial models all of the PRSs (Subs-PRS, Com-PRS, and Psych-PRS) were associated with all of the traits. Brain meQTL of the Subs-associated SNPs had an effect on the genes enriched in insulin signaling pathway, and that of the Psych-associated SNPs had an effect on the Fc gamma receptor phagocytosis pathway.