Variations in the size of socio economic differences in smoking, excessive alcohol consumption, infrequent vegetable consumption and overweight in 11 EU countries were studied using survey data for 1987-1991. International variations were found for most risk factors. Most remarkable was the North-South pattern found for smoking among women, and for smoking and vegetable consumption among men, with small or even positive associations in France and the Mediterranean countries. These results provide indications about circumstances that influence socio-economic differences in risk factor prevalence and suggest that these differences are relevant for understanding the size of socio-economic health differences in different European countries.