It is not well known how the timing of entry into paid employment and physical work exposures contribute to different health outcomes in young employees. Thus, we determined the associations of age at entry into paid employment and physical work exposures with general and mental health in young employees and determined whether associations differ by behavior-related risk factors. Data were collected via online and mailed surveys in autumn 2017 from employees of the City of Helsinki aged 18–39 years (n = 5897; 4630 women and 1267 men, response rate 51.5%). Surveys comprised measures of age at entry into paid employment, seven working conditions, behavior-related risk factors and health outcomes (self-rated health [SRH] and common mental disorders [CMD] as generic indicators of physical and mental health). Logistic regression analysis was used. After full adjustment, age at entry was not associated with the health outcomes; however, in additional analyses, younger age at first employment was associated with smoking and obesity (OR 3.00, 95% CI 2.34–3.85 and 1.67, 95% CI 1.32–2.11 for those started working at age of ≤18 years, respectively). Of the working conditions, sitting and standing were positively associated with poor SRH and CMD and uncomfortable working postures with CMD. Working conditions were broadly similarly associated with health outcomes among those with and without behavior-related risk factors. Although we found little support for modification by behavior-related risk factors, overweight, obesity and smoking were associated with poor SRH and binge drinking and smoking with CMD. Additionally, moderate and high levels of leisure-time physical activity were inversely associated with poor SRH. In conclusion, early entry into paid employment appears not to associate to immediate poorer health in young employees, although it was associated with smoking and obesity even after full adjustment. Exposure to physically heavy work and uncomfortable working postures may increase the risk of adverse health outcomes.