Health risk behaviours such as tobacco smoking, excessive alcohol consumption, drug use, unhealthy diet and unprotected sexual intercourse contribute to the global burden of non-communicable diseases and are often initiated in adolescence. An individualistic focus on ‘health risk behaviours’ has resulted in behaviour change strategies that are potentially ineffective and increase inequalities. We conducted a grounded theory study of 25 young adults to increase the limited qualitative evidence base surrounding young people, health risk behaviours and socioeconomic inequalities. We found that health risk behaviours were perceived as class markers, manifesting as class stigma, leading some participants from lower socioeconomic backgrounds to employ strategies to avoid such behaviours. Peers and family were core constructs for understanding the relationship between health risk behaviours and socioeconomic life trajectories. However, individualism and choice were consistently expressed as the overriding narrative for understanding health risk behaviour and socioeconomic position during the transition to adulthood. The use of “personal responsibility” discourse by young adults, we argue, highlights the need for a public health focus on achieving structural changes as opposed to individualised approaches to avoid reinforcing neoliberal ideologies that serve to marginalise and maintain social inequalities.