Studies show that the association between socio-economic status (SES) and self-rated health (SRH) varies in different countries, however there are not many country-comparisons that examine this relationship over time. The objective of the present study is to determine the effect of three SES measures on SRH in 29 countries according to findings in European Social Surveys (2002-2008), in order to study how socio-economic inequalities can vary our subjective state of health. In line with previous studies, income inequalities seem to be greater not only in Anglo-Saxon and Scandinavian countries, but especially in Eastern European countries. The impact of education is greater in Southern countries, and this effect is similar in Eastern and Scandinavian countries, although occupational status does not produce significant differences in southern countries. This study shows the general relevance of socio-educational factors on SRH. Individual economic conditions are obviously a basic factor contributing to a good state of health, but education could be even more relevant to preserve it. In this sense, policies should not only aim at reducing income inequalities, but should also further the education of people who are in risk of social exclusion.