Abstract Background Previous research on health behavior and subjective well-being has mainly focused on interindividual differences or explored certain domains of health behavior. Good health behavior and subjective well-being at baseline can predict each other after a follow-up. In the present cohort study, we explored the outcomes of change for an individual i.e., how changed health behavior is reflected in subsequent subjective well-being and vice versa. Methods Data (n = 10,855) originates from a population-based Health and Social Support (HeSSup) study on working-age Finns in 2003 and 2012. A composite measure of health behavior included physical activity, dietary habits, alcohol consumption, and smoking status (range 0–4, worst–best) and a composite measure of subjective well-being (with reversed scoring) included three life assessments, i.e., interest, happiness, and ease in life, and perceived loneliness (range 4–20, best–worst). Different multiple linear regression models were used to study how changes in health behavior predict subjective well-being and the opposite, how changes in subjective well-being predict health behavior. Results A positive change in health behavior from 2003 to 2012 predicted better subjective well-being (i.e., on average 0.31 points lower subjective well-being sum score), whereas a negative change predicted poorer subjective well-being (i.e., 0.37 points higher subjective well-being sum score) (both: p < 0.001) compared to those study subjects who had no change in health behavior. Similarly, when a positive and negative change in subjective well-being was studied, these figures were 0.071 points better and 0.072 points worse (both: p < 0.001) health behavior sum score, respectively. When the magnitude of the effect of change was compared to the range of scale of the outcome the effect of health behavior change appeared stronger than that of subjective well-being. Conclusion Changes in health behavior and subjective well-being have long-term effects on the level of the other, the effect of the first being slightly stronger than vice versa. These mutual long-term benefits can be used as a motivator in health promotion on individual and societal levels.