Subjective social status (SSS), the perception of one’s social standing compared to others in society, and socioeconomic status (SES) are interconnected but distinct determinants of health. Intermediary factors such as distress and health behaviors can contribute to this relationship. This pre-registered study hypothesized that, in the early months of the COVID-19 pandemic, nonspecific psychological distress would indirectly link SSS and SES to perceived changes in three health behaviors: sleep quality, physical activity, and alcohol consumption. Data from 412 US adults were collected from April to June 2020 through an online cross-sectional survey. Findings indicated that lower SSS was indirectly associated with lower current sleep quality, worsened sleep quality, and decreased physical activity since the pandemic onset via greater psychological distress. Path analyses controlled for age, gender, race, COVID-19-related worry, and shelter-in-place status. Results are discussed in light of findings from COVID-19 research and the broader literature on SES health disparities.