Our objective was to investigate the association between lifetime socioeconomic status and intra-generational social mobility and low consumption of fruits and vegetables, leisure-time physical inactivity, and smoking among 13,216 men and women participating in the baseline of the ELSA-Brazil study (2008-2010). Socioeconomic status in childhood, adolescence, and adulthood was measured by maternal schooling, socio-occupational class of the first occupation, and socio-occupational class of the current occupation, respectively. Social disadvantages in adulthood were consistently associated with higher prevalence of the three behaviors analyzed in men and women. However, socioeconomic status in youth and childhood was less consistently associated with the behaviors. For example, while low maternal schooling reduced the odds of past smoking (women) and current smoking (men and women), it was associated with higher odds of leisure-time physical inactivity in women. Meanwhile, low socioeconomic status in youth increased the odds of past smoking (men and women) and current smoking (women). Analysis of social trajectories lent additional support to the relevance of disadvantages in adulthood for risk behaviors, since only individuals that rose to the high socio-occupational class did not show higher odds of these behaviors when compared to participants that had always belonged to the high socio-occupational class. Our findings indicate that socioeconomic disadvantages in adulthood appear to be more relevant for risk behaviors than disadvantages in childhood and adolescence.