Two of the most prominent phenomena in the study of social determinants of health, the socio-economic gradient in health and the income inequality-health association, have both been suggested to be explainable by the mechanism of status comparisons. This, however, has rarely ever been tested in a direct fashion. In this article, we explicate and test this mechanism by assessing the role of social comparison orientation. Research has shown that individuals vary in their propensity to engage in social comparisons, and those with a higher propensity are also more likely to be affected by the outcomes of such comparisons. In our analysis, we check whether the tendency to compare one's income to that of others can contribute to explaining socio-economic disparities in health. Using individual-level data (N = 18,356) from 23 European countries on self-rated overall health and psychological well-being, we show that a high-income comparison orientation neither moderates the negative effect of income inequality on health nor the health differences by relative income. Our findings cast doubt on the crucial role that researchers such as Wilkinson and Pickett (2010) have attributed to the mechanism of status differentiation as the link between social stratification and health outcomes.