The study assessed the validity of the Gambling Task as a test of decision-making ability in adolescents and examined whether adolescents with behavior disorders, who are at risk for substance abuse, have deficits in decision making similar to those exhibited by adults with substance abuse. Performance on the Gambling Task in two testing sessions separated by 1 week was assessed in 64 12–14-year-old adolescents (31 healthy, 33 with externalizing behavior disorders) and 52 adults (22 healthy, 30 with substance abuse). The healthy adolescents and the healthy adults had similar performance on the Gambling Task. Adolescents with behavior disorders performed more poorly than healthy adolescents, but only in the second testing session. In adults, overall Gambling Task performance did not differ between the healthy and substance abuse groups at either testing session, indicating no difference in learning of decision-making strategies between groups. However, adults with substance abuse performed more poorly than healthy adults during an early stage of the task, when participants presumably begin to understand the rewards and penalties involved in the task but are not yet sure of the actual risk of incurring penalities. The Gambling Task can be used with adolescents. Testing with the Gambling Task revealed a deficit in decision making in adolescents with behavior disorders, who are at risk for substance abuse. This deficit may represent a vulnerability factor for the development of substance abuse.