The objective of this study was to investigate the contribution of ethnicity (African American vs European/other ancestry), family religious affiliation, religious involvement, and religious values, to risk of alcohol and cigarette use in adolescent girls; and to estimate genetic and shared environmental effects on religious involvement and values. Telephone interviews were conducted with a sample of female like-sex twin pairs, aged 13–20 (n = 1687 pairs, including 220 minority pairs), as well as with one or both parents of twins aged 11–20 (n = 2111 families). These data, together with one-year follow-up twin questionnaire data, and two-year follow-up parent interview data, were used to compare ethnic differences. Proportional hazards regression models and genetic variance component models were fitted to the data. Despite higher levels of exposure to family, school and neighborhood environmental adversities, African American adolescents were less likely to become teenage drinkers or smokers. They showed greater religious involvement (frequency of attendance at religious services) and stronger religious values (eg belief in relying upon their religious beliefs to guide day-to-day living). Controlling for religious affiliation, involvement and values removed the ethnic difference in alcohol use, but had no effect on the difference in rates of smoking. Religious involvement and values exhibited high heritability in African Americans, but only modest heritability in EOAs. The strong protective effect of adolescent religious involvement and values, and its contribution to lower rates of African American alcohol use, was confirmed. We speculate about the possible association between high heritability of African American religious behavior and an accelerated maturation of religious values during adolescence.