Economic downturns could have long-term impacts on population health if they promote changes in health behaviors, but the evidence for whether people are more or less likely to adopt negative health behaviors in economically challenging times has been mixed. This paper argues that researchers need to draw more careful distinctions amongst different types of recessionary hardships and the mechanisms that may underlie their associations with health behaviors. We focus on unemployment experience, measured decline in economic resources, and perceived decline in economic resources, all of which are likely to occur more often during recessions, and explore whether their associations with health behaviors are consistent or different. We use population-based longitudinal data collected by the Michigan Recession and Recovery Study in the wake of the Great Recession in the United States. We evaluate whether those who had experienced each of these three hardships were more likely to adopt new negative health behaviors, specifically cigarette smoking, harmful and hazardous alcohol consumption, or marijuana consumption. We find that, net of controls and the other two recessionary hardships, unemployment experience was associated with increased hazard of starting marijuana use. Measured decline in economic resources was associated with increased hazard of cigarette smoking and lower hazard of starting marijuana use. Perceived decline in economic resources was linked to taking up harmful and hazardous drinking. Our results suggest heterogeneity in the pathways that connect hardship experiences and different health behaviors. They also indicate that relying on only one measure of hardship, as many past studies have done, could lead to an incomplete understanding of the relationship between economic distress and health behaviors.