The inconsistent and small associations between health locus of control and health behaviour found in previous studies may be due to the use of small samples, and an overreliance on correlations as measures of association. We assessed relationships between internal powerful others and chance health locus of control, health values, and ten health-related behaviours (physical exercise, smoking, alcohol consumption, breakfast, tooth-brushing, seat belt use, and consumption of fruit, fat, fibre and salt) in 4358 female and 2757 male university students from 18 European countries. Multivariate logistic modelling, assessing the odds of engaging in healthy behaviour with graded changes in locus of control, identified substantial associations. For five behaviours, the odds of healthy behaviour were more than 40% greater among individuals in the highest vs. lowest quartile of internal locus of control after adjustment for sex, age, health value and other locus of control scales. High chance locus scores were associated with more than 20% reductions in the likelihood of healthy options for six behaviours, while powerful others scores showed more variable associations with healthy actions. Inclusion of health value within the analyses did not change the nature of the relationships observed between variables. Associations between health locus of control and health behaviour are of a similar magnitude to other psychosocial factors when appropriate statistical tests are employed.