The purpose of this study was to explore and compare measures of socioeconomic status (SES) in a national sample of Canadian adolescents. Issues of missing data and interrelationships among the measures were addressed. Measures of SES included household income, parental education, two parental occupation-based measures, and four neighbourhood proxy indicators. The proportion of adolescents with missing data was largest for household income (21.1 percent). Data were not missing at random, as adolescents missing household income information were less likely to reside in a high income neighbourhood. Pair-wise Spearman correlations ranged from: 0.40-0.79 between neighbourhood SES measures; 0.12-0.37 between household/parental and neighbourhood indicators; and 0.36-0.87 between household/parental measures. Correlations were lower among rural adolescents, particularly for the neighbourhood SES measures. The results highlight both measurement and conceptual challenges for researchers who wish to gain insight into SES-health relationships for adolescents. In particular, the findings emphasize the importance of incorporating multiple measures of SES and suggest a need to further explore the meaning of socioeconomic position for this population.