Background: Tobacco-related heath inequalities are a major public health concern, with smoking being more prevalent among lower socioeconomic groups. The aim of this study is to investigate the mechanisms leading to socioeconomic inequalities in smoking among 15-year-old adolescents by examining the mediating role of psychosocial factors in the peer group, family and school environment. Methods: Data were derived from the international WHO-collaborative ‘Health Behaviour in School-aged Children (HBSC)’ study 2005/2006, including 52 907 15-year-old students from 35 European and North American countries. Socioeconomic position was measured by the Family Affluence Scale. Multilevel logistic regression models were conducted to examine the contribution of family, school and peer factors in explaining the association between family affluence and weekly smoking. Results: Across countries, adolescents from low affluent families had an increased risk of weekly smoking (OR _boys 1.14, confidence interval (CI) 1.05–1.23; OR _girls 1.36, CI 1.26–1.46) compared with adolescents from high affluent families. Family and school factors mediated the association between family affluence and smoking to a high extent up to 100% (boys) and 81% (girls) in joint analyses. The most important single factors were family structure, relationships with parents, academic achievement and school satisfaction. Peer factors did not mediate the association between family affluence and adolescent smoking. Conclusion: The association between socioeconomic status and adolescent weekly smoking can largely be explained by an unequal distribution of family- and school-related factors. Focusing on the parent–adolescent relationship and adolescent school achievement can help to better understand inequalities in adolescent smoking behaviour.