Aim To test (i) whether the harmful effects of average volume of alcohol consumption (AC) and heavy episodic drinking (HED) differ by socio‐economic position (SEP), and (ii) if so, to what extent such differential effects can be attributed to an unequal distribution of harmful levels and patterns of drinking, health, life‐style and social factors. Design A longitudinal cohort study with baseline in 2002 or 2006, with record‐linkage to national registers. Setting Stockholm County, Sweden. Participants A total of 37484 individuals, aged 25–70 years, responding to the survey in 2002 or 2006. Measurements The outcome of alcohol‐related health problems was obtained from the National Patient Register and Cause of Death Register using the Swedish index diagnoses related to alcohol use. Self‐reported information on occupational class (measure of SEP), AC, HED as well as other health‐related factors were extracted from the surveys. Average follow‐up time was 13.3 years. Findings During follow‐up, a total of 1237 first‐time events of alcohol‐related health problems occurred. After initial adjustments, heavy drinking appeared to be more harmful to individuals with low SEP compared with high SEP (P ¼ 0.001). Differences in HED frequency explained the largest part of the differential effect of AC. Engaging in weekly HED was more harmful to individuals with low SEP (P ¼ 0.031) than high SEP. Differences in AC, together with other factors, explained a large part of the differential effect of HED. Conclusions The greater adverse impact of alcohol consumption on health in Sweden on people with lower socio‐economic position may be largely attributable to higher prevalence of heavy episodic drinking, as well as other behavioral and social risk factors.