Aims We investigated whether (1) adolescents selected friends with a similar socio‐economic status (SES), (2) smoking and alcohol consumption spread in networks and (3) the exclusion of non‐smokers or non‐drinkers differed between SES groups. Design This was a longitudinal study using stochastic actor‐oriented models to analyze complete social network data over three waves. Setting Eight Hungarian secondary schools with socio‐economically diverse classes took part. Participants This study comprised 232 adolescents aged between 14 and 15 years in the first wave. Measurements Self‐reported smoking behavior, alcohol consumption behavior and friendship ties were measured. SES was measured based upon entitlement to an income‐tested regular child protection benefit. Findings Non‐low‐SES adolescents were most likely to form friendships with peers from their own SES group odds ratio (OR) = 1.07, 95% confidence interval (CI) = 1.02–1.11. Adolescents adjusted their smoking behavior (OR = 24.05, 95% CI = 1.27–454.86) but not their alcohol consumption (OR = 1.65, 95% CI = 0.62–4.39) to follow the behavior of their friends. Smokers did not differ from non‐smokers in the likelihood of receiving a friendship nomination (OR = 0.98, 95% CI = 0.87–1.10), regardless of their SES. Alcohol consumers received significantly more friendship nominations than non‐consumers (OR = 1.16, 95% CI = 1.01–1.33), but this association was not significantly different according to SES. Conclusions Hungarian adolescents appear to prefer friendships within their own socio‐economic status group, and smoking and alcohol consumption spread within those friendship networks. Socio‐economic groups do not differ in the extent to which they encourage smoking or alcohol consumption.