ABSTRACT Background Self-rated health (SRH), an attractive measure for health monitoring, shows persistent inequalities with regard to socioeconomic status (SES). However, knowledge on the extent to which inequalities in SRH reflect inequalities in disease burden is lacking. Methods Data come from the multi-ethnic HEalthy LIfe in an Urban Setting study (Dutch, South-Asian Surinamese, African Surinamese, Ghanaian, Turkish or Moroccan origin, N = 19 379, aged 18–70). SES was defined by educational and occupational level. Disease burden was operationalized as chronic diseases, physical and mental functioning (measured with SF-12) and depressive symptoms (measured with PHQ-9). We applied logistic regression analyses and reported average marginal effects (AME). Results Dutch origin participants with low educational or low occupational level had higher probabilities of reporting fair/poor SRH, compared to the highest levels (AME = 0.20 95% CI: 0.13;0.27; and 0.12 (0.09;0.15), respectively). Associations were attenuated after adjusting for all disease burden indicators, to AME = 0.03 (0.01;0.04) and AME = 0.02 (−0.00;0.04). In all the non-Dutch origin groups, a larger part of the inequalities remained after adjustment. Conclusion Socioeconomic inequalities in SRH are for a large part explained by higher disease burden in lower socioeconomic groups, but less so in those with non-Dutch origin. Future research should examine if our conclusions also hold for trend data on inequalities in SRH.