There is still a need for more empirical investigations to better understand the causal pathways by which neighborhood socioeconomic contexts translate into states of health. This study explored the relationship between neighborhood socioeconomic position and health, as well as the role of social cohesion, violence, places to buy healthy food, and sports and leisure spaces in mediating this relationship in a diverse set of neighborhoods in Brazil. We applied a general multiple mediation approach to analyze a cross-sectional survey of 4.046 adults living in 149 neighborhoods in 2008 and 2009. The property value was chosen as an indicator of neighborhood socioeconomic position and self-rated health as the outcome. The four mediators were constructed from the self-perception of the participants. Results: We found that people living in economically advantaged neighborhoods were less likely to report their health as being fair/poor/very poor (OR = 0.71; 95% CI = 0.63, 0.76) than people living in disadvantaged neighborhoods, and this effect was mediated by the perception of violence in the neighborhoods. On average, 8.4% of the neighborhood socioeconomic disparity in self-rated health may be explained by violence. We did not ascertain as mediators social cohesion, places to buy healthy food, and sports and leisure spaces. Violence perception mediates the relationship between neighborhood socioeconomic position and self-rated health. Targeted interventions designed to improve the health status of the population could usefully focus on reducing the level of violence in which people live.