Previous health studies have focused on the correlation between socioeconomic status (SES) and health. We pooled data from the Chinese Longitudinal Healthy Longevity Survey (N = 9765) conducted in 2011, and examined the association of SES and health-related behavior with elderly health in China. The cumulative health disadvantage of the elderly caused by SES can be relieved by lifelong health-related behavior. In the same SES, the odds of self-rated health (SRH) as "good," mini-mental state examination (MMSE) as "not impaired," and activities of daily living (ADLs) as "not impaired" among the elderly who exercised regularly, were 46.9%, 28.6%, and 62.3% lower for the elderly who rarely exercised. The elderly who started doing regular exercise from 30 years old, achieved higher SRH, ADL, and MMSE scores to some extent. The health improvement advantage for the elderly who started doing regular exercises after 60 years old, was reduced. However, the odds of SRH as "good," MMSE as "not impaired," and ADLs as "not impaired" were still 3.4%, 12.5%, and 17.8%, respectively, higher than the respondents who never exercised. The health-related behaviors not only promote elderly health improvement, but its duration has also been found to be associated with the extent of health improvement.