Residents of socioeconomically deprived areas perceive their neighbourhood as less conducive to healthy behaviours than residents of more affluent areas. Whether these unfavourable perceptions are based on objective neighbourhood features or other factors is poorly understood. We examined individual and contextual correlates of socioeconomic inequalities in neighbourhood perceptions across five urban regions in Europe. Data were analysed from 5205 participants of the SPOTLIGHT survey. Participants reported perceptions of their neighbourhood environment with regard to aesthetics, safety, the presence of destinations and functionality of the neighbourhood, which were summed into an overall neighbourhood perceptions score. Multivariable multilevel regression analyses were conducted to investigate whether the following factors were associated with socioeconomic inequalities in neighbourhood perceptions: objectively observed neighbourhood features, neighbourhood social capital, exposure to the neighbourhood, self-rated health and lifestyle behaviours. Objectively observed traffic safety, aesthetics and the presence of destinations in the neighbourhood explained around 15% of differences in neighbourhood perceptions between residents of high and low neighbourhoods; levels of neighbourhood social cohesion explained around 52%. Exposure to the neighbourhood, self-rated health and lifestyle behaviours were significant correlates of neighbourhood perceptions but did not contribute to socioeconomic differences. This cross-European study provided evidence that socioeconomic differences in neighbourhood perceptions are not only associated with objective neighbourhood features but also with social cohesion. Levels of physical activity, sleep duration, self-rated health, happiness and neighbourhood preference were also associated with neighbourhood perceptions.