Neighborhood context could affect health behaviors because of structure or contagion. We expected that residents of US neighborhoods where a high percentage of residents are poor and do not have college degrees would be more likely to smoke and less likely to walk and exercise. We examined the hypotheses using multi-level data in which survey information from a representative sample of Illinois residents is linked to census-tract information about poverty and education in their neighborhood. Contrary to expectations we found that residents of poor neighborhoods were more likely to walk than those in less disadvantaged places, adjusting for individual poverty, household income, education, race, ethnicity, sex, age, and marital status. This was the case despite the fact that residents of poor neighborhoods were more afraid to leave the house and feared being victimized on the streets. Consistent with expectations we found that residents of neighborhoods where a high percentage of residents are college educated are more likely to walk. Thus, the two aspects of neighborhood socioeconomic status had opposite effects on walking. Neighborhood context had no effect on the likelihood of exercising strenuously. Men in poor neighborhoods were more likely to smoke than those in less disadvantaged places, but neighborhood context had no significant effect on women's likelihood of smoking.