Few studies have investigated the specific features implicated in neighborhood-health associations. We examined associations between measures of neighborhood problems and neighborhood social cohesion with depression, smoking, drinking, and walking for exercise in the Multi-Ethnic Study of Atherosclerosis (MESA) cohort. Neighborhoods were characterized according to participant self-report and aggregated measures based on other MESA participants. Individuals living in the least problematic neighborhoods were significantly less likely to be depressed, to smoke, or to drink. Less socially cohesive neighborhoods were associated with increased depression, smoking, and not walking for exercise. Results persisted after adjusting for individual-level variables. Each measure appeared to capture distinct features of the neighborhood and associations did not differ by race/ethnicity. Results for neighborhood problems were robust to the use of aggregate measures but results for social cohesion generally were not. Future work should determine the health effect of modifying specific features of the neighborhood context.