This article addresses conceptual and methodological aspects of the relations between discrimination and health from an epidemiological perspective. Definitions of discrimination and related constructs are reviewed, and the main theories underlying their association with health are presented. Scales developed to assess discrimination are discussed, in conjunction with a new instrument, devised to operationalize the concept in Brazilian epidemiological surveys. As a relatively unpredictable and uncontrollable source of psychosocial stress, discrimination has been consistently associated with adverse health outcomes and behaviors, particularly mental disorders, smoking, and alcohol use. However, progress in the area depends partly on dealing with aspects related to the assessment of the phenomenon, such as the definition of a construct map and simultaneous measurement of different types of discrimination. Research involving these aspects will enhance our understanding of discrimination and its health consequences, thus increasing our ability to reduce its social occurrence.