Finding ways to reduce tobacco and alcohol consumption among adolescents has been a major public health challenge in China. In relation to this issue, the current study evaluated the changes in the sociodemographic factors of tobacco and alcohol consumption among Chinese adolescents who are 12–18 years old. Trends in sociodemographic factors associated with tobacco and alcohol consumption were investigated based on the 2004–2011 China Health and Nutrition Survey data. Questionnaires that extracted data on tobacco and alcohol consumption (i.e., prior experience of smoking cigarettes and drinking alcoholic beverages) were distributed. Additional variables (e.g., age, residence, gender, etc.) were used in the analyses. Firth penalized logistic regression was conducted with drinking and smoking status variables as the dependent variables. Male adolescents were more inclined to smoke in 2004, 2006, 2009, and 2011 (p < 0.05 for all). Adolescents aged 15–16 years were more inclined to smoke compared with those aged 12–14 years in 2004, 2006, and 2011 (p < 0.05 for all). Among adolescents aged 15–18 years, older ones were more inclined to not smoke in 2004 (odds ratio (OR) = 0.531, 95% confidence interval (CI) 0.343–0.821). Adolescents who did not attend school were more inclined to smoke in 2004, 2006, 2009, and 2011 (p < 0.05 for all). Adolescents who were drinkers were more inclined to smoke in 2004, 2006, 2009, and 2011 (p < 0.05 for all). Male adolescents were more likely to drink in 2004, 2006, and 2009 (p < 0.05 for all). In 2006 and 2009, adolescents aged 15–16 years were more inclined to drink compared with those aged 12–14 years (p < 0.05 for all). Among adolescents aged 15–18 years, older ones were less inclined to drink in 2004 (OR = 0.719, 95% CI 0.527–0.980) and 2006 (OR = 0.716, 95% CI 0.527–0.972). Adolescents who smoked were more likely to drink in 2004, 2006, 2009, and 2011 (p < 0.05 for all). The prevalence of tobacco and alcohol consumption among adolescents has not changed significantly. The current study identified adolescent high-risk groups for tobacco and alcohol consumption.