This paper uses the British Health and Lifestyle Survey (1984–1985) data and the longitudinal follow-up of May 2003 to investigate the determinants of premature mortality in Great Britain and the contribution of lifestyle choices to socio-economic inequality in mortality. A behavioural model, which relates premature mortality to a set of observable and unobservable factors, is considered. A maximum simulated likelihood (MSL) approach for a multivariate probit (MVP) is used to estimate a recursive system of equations for mortality, morbidity and lifestyles. Health inequality is explored using the Gini coefficient and a decomposition technique. The decomposition analysis for predicted mortality shows that, after allowing for endogeneity, lifestyles contribute strongly to inequality in mortality, reducing the direct role of socio-economic status. This contradicts the view, which is widely held in epidemiology, that lifestyles make a relatively minor contribution to observed socio-economic gradients in health.