There is conflicting evidence about whether living with pets results in better mental and physical health outcomes, with the majority of the empirical research evidence being inconclusive due to methodological limitations. We briefly review the research evidence, including the hypothesized mechanisms through which pet ownership may influence health outcomes. This study examines how pet and non-pet owners differ across a variety of socio-demographic and health measures, which has implications for the proper interpretation of a large number of correlational studies that attempt to draw causal attributions. We use a large, population-based survey from California administered in 2003 (n = 42,044) and find that pet owners and non-pet owners differ across many traits, including gender, age, race/ethnicity, living arrangements, and income. We include a discussion about how the factors associated with the selection into the pet ownership group are related to a range of mental and physical health outcomes. Finally, we provide guidance on how to properly model the effects of pet ownership on health to accurately estimate this relationship in the general population.