Background: A high prevalence of alexithymia has been consistently reported in alcohol- and drug-dependent populations. However, less is known about the role of alexithymia, and its individual dimensions on substance use in healthier populations. Objectives: To examine how different alexithymia dimensions associate with substance use, while controlling for confounding factors. Methods: In the FinnBrain Birth Cohort Study, we analyzed a sample of 994 men. We assessed alexithymia levels (difficulty identifying feelings, difficulty describing feelings and externally oriented thinking (EOT) style), self-reported quantity and frequency of alcohol use in two different time points during and after their partners’ pregnancy, as well as cigarette smoking status. Age, education level, and anxiety scores were used as control variables. Results: Men scoring high on EOT style drank more alcohol per occasion, compared to low scorers (Cohen’s d = 0.43, p < 0.001 during pregnancy, and Cohen’s d = 0.3, p = 0.012 after pregnancy). Individuals in the high EOT quartile were also more likely to be daily smokers (8.7% vs. 17.3%, p = 0.023), and engage in binge drinking (23.7% vs. 43.6%, p = 0.001). Conclusions: The association of alexithymia and substance use may be specifically explained by EOT, a trait characterized by low levels of introspection and pragmatic thinking. It is important for future studies to distinguish between individual alexithymia dimensions and their specific roles in shaping mental health.