Background The bidirectional relationship between health behavior and subjective well-being has previously been studied sparsely, and mainly for individual health behaviors and regression models. In the present study, we deepen this knowledge focusing on the four principal health behaviors and using structural equation modeling with selected covariates. Methods The follow-up data (n = 11,804) was derived from a population-based random sample of working-age Finns from two waves (2003 and 2012) of the Health and Social Support (HeSSup) postal survey. Structural equation modeling was used to study the cross-sectional, cross-lagged, and longitudinal relationships between the four principal health behaviors and subjective well-being at baseline and after the nine-year follow-up adjusted for age, gender, education, and self-reported diseases. The included health behaviors were physical activity, dietary habits, alcohol consumption, and smoking status. Subjective well-being was measured through four items comprising happiness, interest, and ease in life, and perceived loneliness. Results Bidirectionally, only health behavior in 2003 predicted subjective well-being in 2012, whereas subjective well-being in 2003 did not predict health behavior in 2012. In addition, the cross-sectional interactions in 2003 and in 2012 between health behavior and subjective well-being were statistically significant. The baseline levels predicted their respective followup levels, the effect being stronger in health behavior than in subjective well-being. Conclusion The four principal health behaviors together predict subsequent subjective well-being after an extensive follow-up. Although not particularly strong, the results could still be used for motivation for health behavior change, because of the beneficial effects of health behavior on subjective well-being.