We adopted a multilevel approach in order to provide a comprehensive overview of the main social and economic differences associated with inequalities in self-rated health, according to the territorial context of residence. We focused on the Italian population aged 65 and over, availing of the most recent data on health conditions in Italy. This study proves the persistence in Italy, a modern welfare state that has one of the best overall healthcare systems in the world, of significant, if not enormous, socioeconomic differences in self-perceived health among the elderly. We found that each component of the socioeconomic status is autonomously correlated with individual perceptions of health, highlighting the importance of considering all of the facets of the individual socioeconomic status in measuring the extent of health inequalities. The lack of a network of relationships was also found to be strongly associated with a poor health status for elderly Italians. Our study also documented the presence of a contextual effect. The proposed multilevel modeling proved to be useful in shedding light on relevant aspects in the field of perceived health and for avoiding misleading results.