This study examines the connection between studying in selective classes and students' alcohol use using data from the European School Survey Project on Alcohol and Other Drugs (ESPAD) from Finland. Linear probability models were used to investigate whether (1) studying in selective classes is associated with students' recent heavy episodic drinking, and (2) whether parental education, students' school success, and their friends' alcohol use mediate the association. The results show that Finnish students who are selected for classes with a special emphasis engage less in heavy episodic drinking compared to their peers in non-selective classes. Parental education, school success, and friends' alcohol use mediate part of the association. The results suggest that having the opportunity to apply for classes with a special emphasis might increase segregation between student groups and schools regarding risky behaviour such as heavy episodic drinking. Implications of urban and school policies on segregation are further discussed.