Analysis of over 250,000 respondents from four of the largest epidemiological surveys in North America indicates that major health behaviors are largely unrelated to one another. On average, the percentage of shared variance among smoking, exercise, diet and alcohol consumption is approximately 1%. While many of these relationships are statistically significant, suggesting that the associations are nonzero in the population, they represent minute effect sizes. The weak associations among these behaviors are unlikely to be due to incorrect functional form of the relationship, measurement error, or biases in responding. The findings have implications for health behavior theories and interventions predicated on the notion that the health conscious individual attempts to improve his or her health by engaging in more than one of these behaviors at a time.