There is a pressing need for global health preventions to curb the escalating burden of non-communicable diseases (NCDs). Utilising multi-country study designs can improve our understanding of how socio-economic context shapes the aetiology of NCDs, and this has great potential to advance global health interventions. We examined the association between socio-economic status (SES) and NCD risk, and the potential confounding effects of smoking and alcohol intake in young adults (18–35-year-olds) from Kenya, South Africa (SA), and the United Kingdom (UK). Our study was a cross-sectional online survey that included 3000 respondents (n = 1000 per country, 50% women) conducted in April 2022. We utilised information on twelve NCDs to classify respondents as having “no condition”, “one condition”, and “multimorbidity” (having two or more conditions). A total household asset score was calculated and used as a proxy of SES, and subsequently categorised into quintiles (Q1–Q5; lowest-highest). Ordered logistic regression was used to test the associations between NCD risk and exposure variables. In the UK sample, we found that those in the second lowest SES quintile (Q2) had lower odds of developing NCDs than their lowest SES counterparts (Q1). In contrast, South African and Kenyan youth with a SES score between middle and highest quintiles (Q3–Q5) were more likely to develop NCDs than the lowest SES quintile group. In all countries, smoking and/or alcohol intake were associated with higher odds of developing NCDs, and showed some confounding effects on the SES-NCD relationships. Specifically, in Kenya, the risk of developing NCD was more than two times higher in those in the middle (Q3) SES group (OR 2.493; 95% CI 1.519–4.091; p < 0.001) compared to their lowest (Q1) SES counterparts. After adjusting for smoking and alcohol, the ORs of middle (Q3) SES group changed from 2.493 to 2.241 (1.360–3.721; p = 0.002). Overall, we found that the strength and direction of SES-NCD associations differed within and between countries. This study highlights how different SES contexts shape the risk of NCDs among young adults residing in countries at different levels of economic development.