It has been known for a long time that people living in socially and economically deprived neighbourhoods generally experience poorer health. However, it is often not clear what processes underlie the relationship between neighbourhood deprivation and individual health. In this study we explore the association between neighbourhood socio-economic status and self-rated health using the Caerphilly Health and Social Needs Survey (n=10,892). We found that the association between neighbourhood deprivation and self-rated health was substantially reduced after adjusting for individual socio-economic status, but remained statistically significant. This suggests that the health effects of neighbourhood deprivation are partly contextual. We also found that the association between neighbourhood deprivation and self-rated health was further attenuated when controlling for perceptions of the neighbourhood and of housing problems, suggesting that these variables may play a role in mediating the health effects of neighbourhood deprivation. The implications of the results are that health policy should target 'places' as well as 'people'; and that policies aimed at improving the quality of housing, access to amenities, neighbourhood safety, and social cohesion may help to reduce health inequalities.