The interdependence of the associations of physical activity, smoking, and consumption of alcohol and coffee with serum high-density lipoprotein and non-high-density lipoprotein cholesterol concentrations was studied in 9,347 persons ages 25-64 years from east and southwest Finland. In covariance analyses with corrections for age, body mass index, saturated fat index, and fasting time, the mean adjusted serum high-density lipoprotein to non-high-density lipoprotein cholesterol ratio was high among physically active male non-smokers but not among smokers (P = 0.024 for two-way interaction). The cholesterol ratio was lower among both men (P = 0.010 for two-way interaction) and women (P = 0.030 for two-way interaction) reporting no or very little use of alcohol, and this association was stronger among smokers and women with high coffee consumption (P less than 0.001 for two-way interaction). Our data suggest that the elevating effect of regular physical exercise on serum high-density lipoprotein cholesterol may be absent in smokers, whereas that of alcohol is greater in smokers than nonsmokers. High coffee consumption associates with decreased serum high-density lipoprotein cholesterol levels in smokers but increased levels in non-smokers.