Aim. To investigate the role of health risk behavior, such as smoking and alcohol consumption, in the explanation of socio-economic health differences among adolescents. The hypothesis of different exposure and the hypothesis of different vulnerability were explored. Method. In the study carried out in 1998, the prevalence of health complaints of smokers vs non-smokers, alcohol consumers vs abstainers, and among different socio-economic groups of 2,616 Slovak adolescents (mean age, 14.9 +/- 0.62 years) were investigated by means of self-reported questionnaires. The adolescents were stratified according to sex and type of secondary school. Results. Socio-economic disadvantage and the presence of health risk behavior were associated with greater frequency of health complaints by adolescents. Prevalence of smokers was higher in lower socio-economic groups, but no such trend was found for the prevalence of alcohol consumers. Socio-economic status and health risk behavior interactively influenced health, when socio-economic status was assessed according to the mother's characteristics. Socio-economic health differences between non-smokers and abstainers were not significant, unlike the differences between the smokers and alcohol consumers. The influence of health risk behavior was weaker in higher socio-economic groups. Conclusion. Both hypotheses, of different exposure and different vulnerability, could explain socio-economic health differences among Slovak adolescents, with different exposure playing a more important role.