Socioeconomic differences in morbidity and mortality, particularly across educational groups, are widening. Differential exposures to behavioural risk factors have been shown to play an important mediating role on the social inequality in chronic diseases such as heart disease, cerebrovascular disease, chronic obstructive pulmonary disease, and lung cancer. However, much less attention has been given to the potential role of interaction, where the same level of exposure to a behavioural risk factor has different effect across socioeconomic groups, creating subgroups that are more vulnerable than others. In this thesis, Paper 1 describes the unique cohort consortium which was established by pooling and harmonising prospective data from existing cohort studies in Denmark. This consortium generated a large study population with long follow-up sufficient to study power demanding questions of mechanisms underlying social inequalities in chronic disease outcomes. In Paper 2 on incidence of coronary heart disease, smoking and body mass index partially mediated the observed educational differences. This result suggested that some of the social inequality in coronary heart disease may be enhanced by differential exposure to behavioural risk factors (i.e. smoking and obesity). In Paper 3 on incidence of stroke, an observed interaction between education and smoking indicated that participants, particularly men, with low level of education may be more vulnerable to the effect of smoking than those with high level of education in terms of ischemic stroke. Finally, Paper 4 revealed that behavioural risk factors, primarily smoking, explained a considerable part of the educational differences in cause-specific mortality. Further, this paper added important knowledge about the considerable part of the mediated effect, which could be due to interaction between education and smoking. In conclusion, the research in this thesis is a practical implementation of contemporary statistical methodology, the additive hazards models, in which the potential role of behavioural risk factors can be regarded not only as mediation but also as interaction with the effect of socioeconomic position on chronic disease outcomes. The results support that two central mechanisms, differential exposure and differential vulnerability to behavioural risk factors, particularly smoking; have contributed substantially to the social inequality in chronic disease outcomes in Denmark. These mechanism are not mutually exclusive and should be regarded simultaneously. However, the findings could be non-causal associations due to, for instance, psychosocial or environmental factors. Nevertheless, research on social inequality in chronic disease outcomes should regard not only that the smoking prevalence is higher in lower socioeconomic groups (differential exposure), but also that health consequences of being a smoker seem to be worse in these subgroups (differential vulnerability).