Background Substance use in psychosis is an important field of study given that it can be a risk factor for the development of psychosis and can give rise to psychotic symptoms. Studies of substance use in first episode psychosis patients do not frequently assess non-pathological substance consumption among patients, but rather the prevalence of substance abuse or dependence disorders. Moreover, most of these studies do not address the effects of sex in sufficient depth, and the consumption of caffeine or tobacco, which are two of the most frequently used substances, is often not assessed. Objectives The aim of this study was to compare patterns and quantities of substance use between first episode psychosis patients and healthy controls and between men and women, and explore the potential interactive effects between group (patients or controls) and sex. Methods A total of 158 participants (82 first episode psychosis patients and 76 healthy controls) were included in the study. Both adults and adolescents were included in the study. Frequency and amount of use of caffeine, tobacco, alcohol, cannabis, cocaine, hallucinogens, stimulants, and opiates were gathered. Results A significant main effect of sex was found for the frequency of use of tobacco (p =.050). Main effects of group were found for the quantity of tobacco (p <.001) and cannabis (p <.001) consumed, as well as main effects of sex for the quantity of alcohol (p =.003) and cannabis (p =.017) consumed. There were also interaction effects between group and sex for the frequency of use of tobacco (p =.005) and cannabis (p =.009), and for the amount of cannabis consumed (p =.049). Qualitative differences between males and females regarding combined substance use are also reported. Conclusions Among patients, men used tobacco more frequently than women, but this sex difference was not the same for the control group, in which women smoked more often than men. Regarding cannabis, men smoked cannabis more frequently and in larger amounts than women, but only in the patients group, whereas no sex differences for cannabis were found for the controls. Main effects of group and sex for tobacco and alcohol, as well as the lack of differences for the frequency and amount of use of caffeine, are also commented. This is the first study to assess the different effects of sex on substance use in first episode psychosis patients and healthy controls.