Abstract Background Previous studies have found that residents of deprived neighbourhoods have an increased risk of perceived stress compared to residents with similar sociodemographic and socioeconomic characteristics in non-deprived neighbourhoods. While stress may provide an explanatory pathway linking neighbourhood deprivation to health-risk behaviour, only limited research has been undertaken on whether perceived stress influences health-risk behaviour in deprived neighbourhoods. Moreover, it is uncertain whether perceived stress has a negative effect on the associations between socioeconomic status and health-risk behaviours in deprived neighbourhoods. The overall aim of this study was to compare perceived stress in deprived neighbourhood with that in the general population, and to examine whether perceived stress was associated with health-risk behaviours (including their co-occurrence) in deprived neighbourhoods. A further aim was to examine whether perceived stress modified the associations between socioeconomic status and health-risk behaviours. Methods Four questions from the Perceived Stress Scale were used as indicators of perceived stress. Multiple logistic regression analyses were applied to cross-sectional data from 5113 adults living in 12 deprived neighbourhoods in Denmark. Data from 14,868 individuals from the nationally representative Danish Health and Morbidity Survey 2010 were used as a comparison group with regard to perceived stress. Results Residents of deprived neighbourhoods had higher odds of perceived stress than the general population. Associations between disposable income, economic deprivation, strain, and perceived stress were found in deprived neighbourhoods. Perceived stress was significantly associated with higher odds of health-risk behaviour, including a low intake of fruit or vegetables, daily smoking, physical inactivity, and the co-occurrence of health-risk behaviours, even after adjustment for demographic and socioeconomic characteristics. Perceived stress was more strongly associated with physical inactivity and having two or more health-risk behaviours among residents with medium/high socioeconomic status compared to residents with low socioeconomic status. Conclusions Overall, the study showed a clear association between perceived stress and health-risk behaviour in deprived neighbourhoods. Future health promotion interventions targeting deprived neighbourhoods may benefit from incorporating stress reduction strategies to reduce health-risk behaviour. Further research is needed to fully understand the mechanism underlying the association between perceived stress and health-risk behaviour in deprived neighbourhoods.