Our study explores the association between individual and neighborhood socioeconomic position (SEP) and all‐cancer and site‐specific cancer mortality. Data on all Belgian residents are retrieved from a population‐based dataset constructed from the 2001 census linked to register data on emigration and mortality for 2001–2011. The study population contains all men and women aged 40 years or older during follow‐up. Individual SEP is measured using education, employment status and housing conditions. Neighborhood SEP is measured by a deprivation index (in quintiles). Directly age‐standardized mortality rates and multilevel Poisson models are used to estimate the association between individual SEP and neighborhood deprivation and mortality from all‐cancer and cancer of the lung, colon and rectum, pancreas, prostate and female breast. The potential confounding role of population density is assessed using multilevel models as well. Our findings show an increase in mortality from all‐cancer and site‐specific cancer by decreasing level of individual SEP for both men and women. In addition, individuals living in highly deprived neighborhoods experience significantly higher mortality from all‐cancer, lung cancer, pancreatic cancer and female colorectal cancer after controlling for individual SEP. Male colorectal and prostate cancer and female breast cancer are not associated with neighborhood deprivation. Population density acts as a confounder for female lung cancer only. Our study indicates that deprivation at both the individual and neighborhood level is associated with all‐cancer mortality and mortality from several cancer sites. More research into the role of life‐style related and clinical factors is necessary to gain more insight into causal pathway.