Background: Epidemiological transition in low- and middle-income countries has drawn the attention of public health policymakers to non-communicable diseases (NCDs) and their environmental and individual-level risk factors. We aimed to evaluate the association of socioeconomic indicators of Brazilian state capitals with NCD risk factors. Methods: We used cross-sectional data from the 2011 Telephone-based Surveillance of Risk and Protective Factors for Chronic Diseases (VIGITEL) survey. Correlations between various socioeconomic indicators of individual cities (Gross domestic product per capita, illiteracy and Gini index) and the prevalence of NCD risk factors were examined using Kendall's Tau correlation coefficient. Multilevel models were then employed to assess whether the association between these socioeconomic indicators and NCD risk factors was independent of socioeconomic status at the individual level. Results: Stronger socioeconomic indicators were associated with a lower prevalence of irregular consumption of fruits, vegetables and leisure time physical inactivity, but with a higher prevalence of smoking and soft drink consumption. Adjustment for individual-level characteristics did not substantially alter the magnitude of these associations. Conclusion: The socioeconomic condition of cities relates in complex ways with the prevalence of various risk factors for NCDs. For smoking and soft drink consumption, the associations observed do not reflect what is frequently reported at the individual level.