The main objective of this study was to analyze the relationship between structured, unstructured, and family leisure activities on the frequency of adolescent alcohol intake across three different countries (Spain, Peru, and The Netherlands). The self-control of adolescents was also investigated as a moderator in the relationship between leisure activities and alcohol consumption. Methodology: This research involved 4608 adolescents aged between 12 and 17 from three countries (Spain, Peru, and The Netherlands). In Spain and Peru, data was collected through a self-report questionnaire which was part of the Your Life project. In The Netherlands, a self-questionnaire was used, collected by the University of Utrecht. A multiple logistic regression was performed for each country. Results: The results showed that participation in unstructured leisure activities increased the likelihood of drinking more frequently and more heavily in all three countries. Structured leisure activities, in general, did not have a significant predictive effect on alcohol consumption in any of the countries. Family leisure activities reduced the risk of engaging in yearly alcohol use and yearly binge drinking among adolescents, especially in The Netherlands and Spain. The protective effect of family leisure and unstructured leisure risk on yearly alcohol use applied especially to Dutch adolescents with a low level of self-control. Discussion: The article emphasizes the need for parents to engage in leisure activities with their child; participation in unstructured activities is not to be encouraged.