Background: The present study described the occurrence of health risk behaviors among Chinese older adults, and developed a structural equation model (SEM) to assess the associations between socioeconomic status (SES), social capital, health risk behaviors, and health-related quality of life (HRQoL). Methods: We conducted this cross-sectional study in Hubei, Jiangxi, Guangdong, and Fujian provinces, etc., China between January and March 2018. Demographic characteristics (age, gender, marital status, place of residence), SES (education level, family income), and health risk behaviors (smoking, alcohol consumption, physical inactivity, unhealthy diet, overweight or obesity, and sleep insufficient or excessive) were investigated. Social capital and HRQoL were assessed by the 16-item Personal Social Capital Scale (PSCS-16) and WHOQOL-Old, respectively. Structural equation modeling was applied to assess the associations between variables. Results: A total of 5439 older adults were included in this study. The prevalence of smoking, alcohol consumption, physical inactivity, unhealthy diet, overweight or obesity, and sleep insufficient or excessive were 34.7%, 34.4%, 64.3%, 45.0%, 26.6%, and 40.1%, respectively. 75% of the participants reported ≥2 health risk behaviors. Elderly individuals with more co-occurrence number of health risk behaviors demonstrated significant poor HRQoL ( F = 52.99, p <0.01). Smoking, physical inactivity, and unhealthy diet exhibited significant negative associations with HRQoL. Social capital, SES, as well as overweight or obesity, and sleep insufficient or excessive showed positive associations with HRQoL. Higher level of social capital positively associated with the occurrence of alcohol consumption, sleep insufficient or excessive, and negatively associated with physical inactivity, unhealthy diet, and overweight or obesity. Conclusions: Chinese older adults demonstrated high prevalence of health risk behaviors, as well as the proportion of their co-occurrences. Socioeconomic status, social capital, and health risk behaviors were important predictors of the elderly’s quality of life. Increasing elderly’s social capital, so as to prevent and control the occurrence of health risk behaviors, which might be an effective approach to improve the elderly’s health.