(1) Background: There is a need for studies on population-level health literacy (HL) to identify the current state of HL within and between countries. We report comparative findings from 10 European countries (Austria, Belgium (Fl), Czechia, England, Estonia, Finland, Germany, Macedonia, Poland, and Slovakia) on adolescents’ HL and its associations with gender, family affluence (FAS), and self-rated health (SRH). (2) Methods: Representative data (N = 14,590; age 15) were drawn from the HBSC (Health Behavior in School-Aged Children) study. The associations between HL, gender, FAS, and SRH were examined via path models. (3) Results: The countries exhibited differences in HL means and in the range of scores within countries. Positive associations were found between FAS and HL, and between HL and SRH in each country. Gender was associated with differences in HL in only three countries. HL acted as a mediator between gender and SRH in four countries, and between FAS and SRH in each country. (4) Conclusions: The findings confirm that there are differences in HL levels within and between European countries, and that HL does contribute to differences in SRH. HL should be taken into account when devising evidence-informed policies and interventions to promote the health of adolescents.