This study draws on Bourdieu’s theory of capitals to analyze the relative importance of economic, cultural, and social capital on health behaviors in Chinese middle-aged and older adults. Based on data from the China Family Panel Studies of 2016 (N = 15,147), we first harnessed a binary logistic regression model to discuss the associations between the three capitals and four types of health behaviors (i.e., physical exercise, smoking, binge drinking and stay-up). Using the sheaf coefficients technique, we then compared the relative effects of three of the capitals on health behaviors. The results suggest that cultural capital is the most influential one, which would significantly increase physical exercise and stay-up behaviors, and reduce smoking and binge drinking behaviors. Economic capital is also an important predictor, that may reduce smoking behavior but increase binge drinking and stay-up behaviors. Social capital has shown the least importance, although it would still be saliently associated with physical exercise, smoking and stay-up behaviors. In addition, some significant group disparities are also identified. This article is one of the first to explain health behavior inequalities through a Bourdieusian capital-based approach in Chinese contexts.