We estimated the discriminatory power of area of residence (census tract) on the prevalence of main risk factors for chronic diseases. Results, based on a sample of 21,007 participants from the 2011–2012 National Health Survey of Spain, show a differential influence of the geosocial environment on the four health risk factors. Accounting for census tracts substantially increases the discriminatory power regarding at-risk alcohol consumption, unbalanced diet, and leisure-time sedentarism but not tobacco consumption. However, the socioeconomic characteristics of the tracts played a minor role. Further research on the specific geosocial contextual variables explaining variability in these risk factors is necessary.