Significant gender-based health inequalities have been observed across Europe, with women reporting worse health than men. Still, there has been little examination of how the gender–health gap has changed over time, and how it has been shaped by societal gender equality. We used data from the Statistics on Income and Living Conditions Eurostat database (EU-SILC), involving 2,931,081 participants aged 25–64, for 27 European countries. Logistic regressions were performed to model the association between self-reported bad health and gender, in general and over time. Analyses were stratified by employment, education, and clusters of countries according to levels of Gender Equality Index (GEI). Adjusting for age, year, and country, bad health was 17% more likely among women, but this disadvantage ceased after accounting for education and employment. Gender–health inequalities were larger among countries with higher GEI scores and among low-educated groups. The gender–health gap did not reduce significantly between 2004 and 2016, in general and within subgroups. Although societies are becoming more equal, persistent inequalities in employment and income still lead to sustained health differences between men and women.