Purpose: Adolescents’ excessive social media use has characteristics similar to other addictive behaviours. This study aims to explore whether the same risk factors are associated with excessive social media use as with excessive gaming and gambling among Finnish adolescents. Methods: Multinomial logistic regression analyses were carried out using the European School Survey Project on Alcohol and Other Drugs data, collected from Finnish adolescents aged 15–16 in 2019 (n = 4595). Results: Excessive use of social media was more common among girls (reported by 46% of respondents) than boys of the same age (28%), whereas boys reported both excessive gaming (23%) and gambling (6%) more often than girls (4% and 1%, respectively). All differences between genders were statistically significant (p < 0.0001). Daily smoking was associated with a high risk of excessive gambling (AOR = 3.23) and low risk of excessive gaming (AOR = 0.27) but had no significant effect on excessive social media use. Cannabis use in the past 12 months was positively associated only with excessive gambling (AOR = 2.39), while past 12 months alcohol consumption increased the risk for excessive social media use (AOR = 1.25). Conclusions: Adolescent girls are at greater risk of excessive social media use than boys, while boys are at greater risk of excessive gaming and gambling. The associations with known risk factors are somewhat different for excessive use of social media as compared to excessive gambling and gaming and should be acknowledged when developing preventive measures for adolescents.