Until recently, the role of socio-regional context as a determinant of adolescents' health behaviour has been largely neglected in health studies. Usually the focus is on characteristics of individuals, while the potentially equally strong effect of the context is left unanalysed. Using multi-level data we studied whether socio-regional context influences health behaviour and whether it modifies differences by socio-economic background of adolescents. The individual level data derive from the (Finnish) Adolescent Health and Lifestyle Survey. In the survey, nationally representative data of 16- and 18-year old Finns were collected in 1991 and 1993 by mailed questionnaires (total n = 9121, response rate = 76%). These data were linked with a database that included socio-economic characteristics of municipalities. Three dimensions of the socio-regional context were measured: level of services, occupational structure and self-sufficiency of employment. In a series of logistic regression models, factors related to daily smoking, weekly alcohol use, use of high milk fat products and frequent physical activity were analysed. Socio-economic background of the adolescent was a strong determinant of all four health behaviours. Drinking and use of high milk fat products were, however, also related to the socio-regional context. The relationship between socio-regional context and these behaviours was dissimilar, so that the dimensions of the socio-regional context that were related to the behaviours were different among boys than among girls. Our study shows that socio-regional context associates with adolescents' alcohol use and use of high milk fat products, while the more detailed nature of this relationship remains unclear.