Socio-economic differences in risk behaviors in adolescence can be seen as a prelude to the re-emergence of socio-economic health differences in adulthood. We studied whether or not socio-economic differences in health risk behaviors are present in male and female adolescents in The Netherlands. The relation between socio-economic status (SES) and health risk behaviors was examined, by testing both the main and interaction effects of SES and gender on separate health risk behaviors on one hand, and on the behaviors cumulatively on the other. The data were derived from 1984 adolescents in the four northern provinces of The Netherlands. SES was measured by means of the educational level and the occupational status of both parents. Four health risk behaviors were included in this study: smoking, alcohol consumption, soft drug use, and (no) physical exercise. We found that the relationships between SES and health risk behaviors are not as linear as is often found in adulthood. Our findings can be characterised overall by an absence of relationship between SES and health risk behaviors. The only exception applies to sport, which is linearly related to SES. Adolescents in the lower SES groups engage in sport less than adolescents in the higher SES groups. There was an irregular relationship between the father's occupational status and the adolescents' smoking and drinking. Adolescents in the highest, lowest and middle of the six SES groups have the highest rates of health risk behaviors. All observed relationships are similar for both male and female adolescents. A relationship between gender and the separate health risk behaviors was found only for alcohol consumption and drug use. For both male adolescents showed higher rates of risk behavior. Males also scored higher on the cumulative health risk behaviors than their female counterparts. The findings of this study do not support the hypothesis of latent differences in adolescence.