General Strain Theory (GST: Agnew Criminology 30:47–87, 1992) posits that deviant behaviour results from adaptation to strain and the consequent negative emotions. Empirical research on GST has mainly focused on aggressive behaviours, while only few research studies have considered alternative manifestations of deviance, like substance use and gambling. The aim of the present study is to test the ability of GST to explain gambling behaviours and substance use. Also, the role of family in promoting the adoption of gambling and substance use as coping strategies was verified. Data from 266 families with in mean 8 observations for each group were collected. The multilevel nature of the data was verified before appropriate model construction. The clustered nature of gambling data was analysed by a two-level Hierarchical Linear Model while substance use was analysed by Multivariate Linear Model. Results confirmed the effect of strain on gambling and substance use while the positive effect of depressive emotions on these behaviours was not supported. Also, the impact of family on the individual tendency to engage in addictive behaviours was confirmed only for gambling.